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COINT: Unit Root Tests with Structural Breaks and Fully-Modified Estimators
Procedures include Phillips (1995) FMVAR <doi:10.2307/2171721>, Kitamura and Phillips (1997) FMGMM <doi:10.1016/S0304-4076(97)00004-3>, and Park (1992) CCR <doi:10.2307/2951679>, and so on. Tests with 1 or 2 structural breaks include Gregory and Hansen (1996) <doi:10.1016/0304-4076(69)41685-7>, Zivot and Andrews (1992) <doi:10.2307/1391541>, and Kurozumi (2002) <doi:10.1016/S0304-4076(01)00106-3>.
Getting started
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Package details |
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| Author | Ho Tsung-wu [aut, cre] |
| Maintainer | Ho Tsung-wu <tsungwu@ntnu.edu.tw> |
| License | GPL (>= 2) |
| Version | 0.0.1 |
| Package repository | View on CRAN |
| Installation |
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