Package: hatemicoint
Type: Package
Title: Hatemi-J Cointegration Test with Two Unknown Regime Shifts
Version: 1.1.0
Authors@R: c(
    person("Muhammad", "Alkhalaf", 
           email = "muhammedalkhalaf@gmail.com",
           role = c("aut", "cre", "cph"),
           comment = c(ORCID = "0009-0002-2677-9246")))
Description: 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>.
License: GPL-3
URL: https://github.com/muhammedalkhalaf/hatemicoint
BugReports: https://github.com/muhammedalkhalaf/hatemicoint/issues
Date: 2026-09-30
Encoding: UTF-8
Depends: R (>= 3.5.0)
Imports: stats
Suggests: testthat (>= 3.0.0)
RoxygenNote: 7.3.3
Config/testthat/edition: 3
Repository: https://muhammedalkhalaf.r-universe.dev
Date/Publication: 2026-10-02 22:47:47 UTC
RemoteUrl: https://github.com/muhammedalkhalaf/hatemicoint
RemoteRef: HEAD
RemoteSha: 38179abcd0f34a35d73ea25be5edba664089db8e
NeedsCompilation: no
Packaged: 2026-11-01 08:29:32 UTC; root
Author: Muhammad Alkhalaf [aut, cre, cph] (ORCID:
    <https://orcid.org/0009-0002-2677-9246>)
Maintainer: Muhammad Alkhalaf <muhammedalkhalaf@gmail.com>