Specification Testing

Identify the parametric form of a model

Functions

archtest Engle test for residual heteroscedasticity
autocorr Sample autocorrelation
crosscorr Sample cross-correlation
lbqtest Ljung-Box Q-test for residual autocorrelation
parcorr Sample partial autocorrelation
corrplot Plot variable correlations
collintest Belsley collinearity diagnostics
adftest Augmented Dickey-Fuller test
kpsstest KPSS test for stationarity
lmctest Leybourne-McCabe stationarity test
pptest Phillips-Perron test for one unit root
vratiotest Variance ratio test for random walk
i10test Paired integration and stationarity tests
egcitest Engle-Granger cointegration test
jcitest Johansen cointegration test
jcontest Johansen constraint test
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