An easy-to-use implementation of the Engle-Granger two-step procedure for identifying pairs of cointegrated series. It is geared towards the analysis of pairs of securities. Summary and plot functions are provided, and the package is able to fetch closing prices of securities from Yahoo. A variety of unit root tests are supported, and an improved unit root test is included.

Documentation

Manual: egcm.pdf
Vignette: None available.

Maintainer: Matthew Clegg <matthewcleggphd at gmail.com>

Author(s): Matthew Clegg*

Install package and any missing dependencies by running this line in your R console:

install.packages("egcm")

Depends zoo, xts, TTR
Imports grid, ggplot2, tseries, MASS, urca, parallel, fArma, stats, methods
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Package egcm
Materials
URL
Task Views Finance
Version 1.0.8
Published 2015-11-13
License GPL-2 | GPL-3
BugReports
SystemRequirements
NeedsCompilation no
Citation
CRAN checks egcm check results
Package source egcm_1.0.8.tar.gz