Dear All,
I am looking for a cointegration relationship between Spot and Future Price
of commodites. The problem i am facing follows:
1. After estimating by Engle-Grranger Method, i found that the residuals are
stationary at their level I (o), which is required to fulfill the
cointegration test.
Hi
Does anyone know if there's a package for unit-root and cointegration test
in R?
Regards Serdar
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R-help@r-project.org mailing list
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PLEASE do read the
You could try the urca package
Also, I would maybe have a look a the CRAN Task View on computational
econometrics at http://cran.r-project.org/web/views/Econometrics.html
HTH
Pete
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