Package: xtrec 1.0.0

xtrec: Panel Unit Root Test Based on Recursive Detrending

Implements the recursively detrended panel unit root tests proposed by Westerlund (2015) <doi:10.1016/j.jeconom.2014.09.013>. Two variants are provided: the basic t-REC test assuming iid errors, and the robust t-RREC test that accounts for serial correlation, cross-sectional dependence, and heteroskedasticity via defactoring and BIC-selected lag augmentation. Both tests have a standard normal null distribution requiring no mean or variance correction. The panel must be strongly balanced.

Authors:Muhammad Alkhalaf [aut, cre, cph]