Specification Testing

Identify the parametric form of a model



archtest Engle test for residual heteroscedasticity

Correlation and Colinearity

autocorr Sample autocorrelation
parcorr Sample partial autocorrelation
crosscorr Sample cross-correlation
corrplot Plot variable correlations
lbqtest Ljung-Box Q-test for residual autocorrelation
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

Structural Change

chowtest Chow test for structural change
cusumtest Cusum test for structural change
recreg Recursive linear regression
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