Package: cointsmall 1.0.2

cointsmall: Cointegration Tests with Structural Breaks in Small Samples

Implements cointegration tests with structural breaks designed for small sample sizes, following the methodology of Trinh (2022) <https://ideas.repec.org/p/ema/worpap/2022-01.html>. Supports models with no breaks, breaks in constant only, and breaks in both constant and slope. Provides endogenous break date detection using ADF or SSR minimization criteria, with small-sample adjusted critical values via response surface methodology.

Authors:Muhammad Alkhalaf [aut, cre, cph], Hoang Huy Trinh [ctb]

cointsmall_1.0.2.tar.gz
cointsmall_1.0.2.zip(r-4.7)cointsmall_1.0.2.zip(r-4.6)cointsmall_1.0.2.zip(r-4.5)
cointsmall_1.0.2.tgz(r-4.6-any)cointsmall_1.0.2.tgz(r-4.5-any)
cointsmall_1.0.2.tar.gz(r-4.7-any)cointsmall_1.0.2.tar.gz(r-4.6-any)
cointsmall_1.0.2.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
cointsmall/json (API)
NEWS

# Install 'cointsmall' in R:
install.packages('cointsmall', repos = c('https://muhammedalkhalaf.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/muhammedalkhalaf/cointsmall/issues

On CRAN:

Conda:

3.30 score 472 downloads 3 exports 0 dependencies

Last updated from:5054f30628. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK106
source / vignettesOK175
linux-release-x86_64OK101
macos-release-arm64OK82
macos-oldrel-arm64OK66
windows-develOK79
windows-releaseOK66
windows-oldrelOK64
wasm-releaseOK89

Exports:cointsmallcointsmall_combinedcointsmall_cv

Dependencies:

Readme and manuals

Help Manual

Help pageTopics
Cointegration Test with Structural Breaks in Small Samplescointsmall print.cointsmall summary.cointsmall
Combined Cointegration Testing Procedurecointsmall_combined print.cointsmall_combined summary.cointsmall_combined
Critical Values for Cointegration Tests with Structural Breakscointsmall_cv