Changes in version 1.0.1                        

Initial CRAN release.

Features

  - Panel cointegration test with structural breaks following Banerjee &
    Carrion-i-Silvestre (2015, JAE)
  - Cross-section dependence handled via common factor estimation
  - Five model specifications for deterministic components
  - Automatic factor number selection using Bai & Ng (2002) IC criterion
  - Structural break date estimation via SSR minimization
  - Individual ADF tests on defactored residuals
  - Standardized panel test statistic with Monte Carlo moments
  - Bai & Ng (2004) MQ test for identifying common stochastic trends
  - Automatic or fixed lag selection for ADF regressions

References

  - Banerjee, A., & Carrion-i-Silvestre, J. L. (2015). Cointegration in
    panel data with structural breaks and cross-section dependence.
    Journal of Applied Econometrics, 30(1), 1-22. doi:10.1002/jae.2431

  - Bai, J., & Ng, S. (2004). A PANIC attack on unit roots and
    cointegration. Econometrica, 72(4), 1127-1177.
    doi:10.1111/j.1468-0262.2004.00496.x