R Graphical Manual

Last data update: 2014.03.03

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Results 1 - 10 of 13 found.
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ur_power (Package: egcm) : Power assessment for unit root tests

A collection of functions designed to assist in determining the power of various unit root tests

● Data Source: CranContrib
● Keywords: ts
● Alias: adf_power, adf_power_table, bvr_power, bvr_power_table, pgff_power, pgff_power_table, ur_power, ur_power_table
● 0 images

yegcm (Package: egcm) :

Fetches the Yahoo! price series for two securities and constructs an Engle-Granger cointegration model from them

● Data Source: CranContrib
● Keywords: models, ts
● Alias: yegcm
● 0 images

bvr.test (Package: egcm) :

Unit root test based upon Breitung's variance ratio

● Data Source: CranContrib
● Keywords: ts
● Alias: bvr.test, bvr_rho
● 0 images

pgff.test (Package: egcm) :

Unit root test based upon the weighted symmetric estimator of Pantula, Gonzales-Farias and Fuller

● Data Source: CranContrib
● Keywords: ts
● Alias: pgff.test, pgff_rho_ws
● 0 images

detrend (Package: egcm) :

Given a numeric vector Y, removes a linear trend from it.

● Data Source: CranContrib
● Keywords:
● Alias: detrend
● 0 images

egcm.defaults (Package: egcm) :

Set and get defaults for Engle-Granger cointegration models

● Data Source: CranContrib
● Keywords:
● Alias: egcm.default.i1test, egcm.default.pvalue, egcm.default.urtest, egcm.i1tests, egcm.set.default.i1test, egcm.set.default.pvalue, egcm.set.default.urtest, egcm.urtests
● 0 images

egcm (Package: egcm) : Simplified Engle-Granger Cointegration Model

Performs the two-step Engle Granger cointegration procedure on a pair of time series, and creates an object representing the results of the analysis.

● Data Source: CranContrib
● Keywords: models, ts
● Alias: egcm, is.ar1, is.cointegrated, plot.egcm, summary.egcm
● 0 images

acor (Package: egcm) : autocorrelation

autocorrelation of a sequence

● Data Source: CranContrib
● Keywords: ts
● Alias: acor
● 0 images

sim.egcm (Package: egcm) :

Given an Engle-Granger cointegration model and the number of steps to simulate, generates a simulated realization of that model for the specified number of steps.

● Data Source: CranContrib
● Keywords:
● Alias: sim.egcm
● 0 images

rar1 (Package: egcm) : Random AR(1) vector

Generates a random realization of an AR(1) sequence

● Data Source: CranContrib
● Keywords: ts
● Alias: rar1
● 0 images