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urca

Description

The functions contained in the package urca facilitate the application of unit root testing as well as the conduct of co-integration analysis. "urca" is considered as a core package for the task views "econometrics" and "finance". The package is purely written in R and S4-classes are employed. The current version is: 1.2-7 as of 26 July 2012. A ChangeLog file is shipped in its root directory such that any modifications are as transparent as possible to the user. You can view and download the changelog file by clicking on the following link: ChangeLog. The package has been written and is maintained by Bernhard Pfaff. Please adress correspondence to the email adress listed in the DESCRIPTION file of the package.

The following unit root test are currently implemented:

Co-integration analysis can be conducted by employing the methods proposed by:

Incidentally, the various tests for testing restrictions of the co-integrating and loading matrices in co-integrated vector autoregressive models have been implemented too. For more information and references see the package's documentation. Where applicable show-, summary- and plot-methods have been written for each of the objects generated by applying one of the functions. The package is shipped with numerous data sets, mostly the ones that have been utilised in the seminal papers such that the results therein can be replicated. Furthermore, a graphical user interface as an add-in to the Rcmdr is shipped in the /inst subdirectory of the package.

Documentation

The current documentation can be downloaded as pdf-file here.

Download

The package is hosted on CRAN and development versions can be installed from R-Forge. The CRAN release of the package can also be downloaded from this site in its source or binary form.

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