Unit Root and Cointegration Tests for Time Series Data

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Documentation for package ‘urca’ version 1.3-4

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.spcv Critical values for Schmidt and Phillips Unit Root Test
ablrtest Likelihood ratio test for restrictions on alpha and beta
alphaols OLS regression of VECM weighting matrix
alrtest Likelihood ratio test for restrictions on alpha
bh5lrtest Likelihood ratio test for restrictions under partly known beta
bh6lrtest Likelihood ratio test for restrictions under partly known beta in a subspace
blrtest Likelihood ratio test for restrictions on beta
ca.jo Johansen Procedure for VAR
ca.jo-class Representation of class ca.jo
ca.po Phillips and Ouliaris Cointegration Test
ca.po-class Representation of class ca.po
cajo.test-class Representation of class cajo.test
cajolst Testing Cointegrating Rank with Level Shift at Unknown time
cajools OLS regression of VECM
cajorls OLS regression of VECM
denmark Data set for Denmark, Johansen and Juselius (1990)
ecb Macroeconomic data of the Euro Zone
finland Data set for Finland, Johansen and Juseliues (1990)
lttest Likelihood ratio test for no linear trend in VAR
MacKinnonPValues MacKinnon's Unit Root p Values
npext Nelson and Plosser extended data set
nporg Nelson and Plosser original data set
plot Methods for Function plot in Package urca
plot-method Methods for Function plot in Package urca
plot-methods Methods for Function plot in Package urca
plotres Graphical inspection of VECM residuals
punitroot MacKinnon's Unit Root p Values
qunitroot MacKinnon's Unit Root p Values
Raotbl1 Data set used by Dickey, Jansen and Thornton (1994)
Raotbl2 Data set used by Dickey, Jansen and Thornton (1994)
Raotbl3 Data set used by Holden and Perman (1994)
Raotbl4 Data set used by Pierre Perron (1994)
Raotbl5 Data set used by Pierre Perron (1994)
Raotbl6 Data set used by Yash P. Mehra (1994)
Raotbl7 Data set used by Glenn Otto (1994)
show Methods for Function show in Package 'urca'
show-method Methods for Function show in Package 'urca'
show-methods Methods for Function show in Package 'urca'
show.urca Function to show objects of classes for unit root tests
summary Methods for Function summary in Package 'urca'
summary-method Methods for Function summary in Package 'urca'
summary-methods Methods for Function summary in Package 'urca'
sumurca-class Representation of class sumurca
UKconinc Data set for the United Kingdom
UKconsumption Data set for the United Kingdom
UKpppuip Data set for the United Kingdom: ppp and uip
unitrootTable MacKinnon's Unit Root p Values
ur.df Augmented-Dickey-Fuller Unit Root Test
ur.df-class Representation of class ur.df
ur.ers Elliott, Rothenberg and Stock Unit Root Test
ur.ers-class Representation of class ur.ers
ur.kpss Kwiatkowski et al. Unit Root Test
ur.kpss-class Representation of class ur.kpss
ur.pp Phillips and Perron Unit Root Test
ur.pp-class Representation of class ur.pp
ur.sp Schmidt and Phillips Unit Root Test
ur.sp-class Representation of class ur.sp
ur.za Zivot and Andrews Unit Root Test
ur.za-class Representation of class ur.za
urca-class Class 'urca'. Parent of classes in package 'urca'