Package: xtbreakcoint 1.0.6
xtbreakcoint: Panel Cointegration Tests with Structural Breaks
Implements panel cointegration tests allowing for structural breaks and cross-section dependence following the methodology of Banerjee and Carrion-i-Silvestre (2015) <doi:10.1002/jae.2348>. The package provides iterative factor-break estimation, individual ADF tests on defactored residuals, standardized panel test statistics, and the Bai and Ng (2004) <doi:10.1111/j.1468-0262.2004.00528.x> MQ test for identifying common stochastic trends. Supports five model specifications with varying deterministic components and break structures.
Authors:
xtbreakcoint_1.0.6.tar.gz
xtbreakcoint_1.0.6.zip(r-4.7-any)xtbreakcoint_1.0.6.zip(r-4.6-any)xtbreakcoint_1.0.6.zip(r-4.5-any)
xtbreakcoint_1.0.6.tgz(r-4.6-any)xtbreakcoint_1.0.6.tgz(r-4.5-any)
xtbreakcoint_1.0.6.tar.gz(r-4.7-any)xtbreakcoint_1.0.6.tar.gz(r-4.6-any)
xtbreakcoint_1.0.6.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
xtbreakcoint/json (API)
| # Install 'xtbreakcoint' in R: |
| install.packages('xtbreakcoint', repos = c('https://muhammedalkhalaf.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/muhammedalkhalaf/xtbreakcoint/issues
Last updated from:b78ed988af. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel | OK | 106 | ||
| source / vignettes | OK | 172 | ||
| linux-release | OK | 103 | ||
| macos-release | OK | 88 | ||
| macos-oldrel | OK | 77 | ||
| windows-devel | OK | 53 | ||
| windows-release | OK | 70 | ||
| windows-oldrel | OK | 64 | ||
| wasm-release | OK | 90 |
Exports:xtbreakcoint
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Panel Cointegration Tests with Structural Breaks | xtbreakcoint-package |
| Print Method for xtbreakcoint Objects | print.xtbreakcoint |
| Summary Method for xtbreakcoint Objects | summary.xtbreakcoint |
| Panel Cointegration Test with Structural Breaks | xtbreakcoint |