This book shows how easily the methods and tools encountered in integration and cointegration analysis are implemented in R. First, it presents theoretical concepts of time series analysis, unit root processes, and cointegration. Then it focuses on unit root tests: several tests are presented, as well as the case of seasonal unit roots and processes that are contaminated by structural shifts. Finally, it deals with cointegration and ends with an exposition of vector error-correction models that are affected by a one-time structural shift. Codes and exercises.
