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