Package: hatemicoint 1.1.0

hatemicoint: Hatemi-J Cointegration Test with Two Unknown Regime Shifts

Implements the Hatemi-J (2008) cointegration test which allows for two unknown structural breaks (regime shifts) in the cointegrating relationship. The test provides three test statistics: ADF* (Augmented Dickey-Fuller), Zt* (Phillips-Perron Z_t), and Za* (Phillips-Perron Z_alpha), along with endogenously determined break dates. Critical values are based on simulations from Hatemi-J (2008) <doi:10.1007/s00181-007-0175-9>. The long-run variance in the Phillips statistics is estimated by default with a prewhitened quadratic spectral kernel and the automatic bandwidth of Andrews (1991) <doi:10.2307/2938229>, following Andrews and Monahan (1992) <doi:10.2307/2951574>.

Authors:Muhammad Alkhalaf [aut, cre, cph]

hatemicoint_1.1.0.tar.gz
hatemicoint_1.1.0.zip(r-4.7-any)hatemicoint_1.1.0.zip(r-4.6-any)hatemicoint_1.1.0.zip(r-4.5-any)
hatemicoint_1.1.0.tgz(r-4.6-any)hatemicoint_1.1.0.tgz(r-4.5-any)
hatemicoint_1.1.0.tar.gz(r-4.7-any)hatemicoint_1.1.0.tar.gz(r-4.6-any)
hatemicoint_1.1.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
hatemicoint/json (API)

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

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

On CRAN:

Conda:

3.40 score 1 stars 306 downloads 1 exports 0 dependencies

Last updated from:38179abcd0. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-develOK145
source / vignettesOK168
linux-releaseOK101
macos-releaseOK81
macos-oldrelOK74
windows-develOK67
windows-releaseOK70
windows-oldrelOK73
wasm-releaseOK63

Exports:hatemicoint

Dependencies: