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Westerlund: Panel Cointegration Tests Based on Westerlund (2007)
Implements a functional approximation of the four panel cointegration tests developed by Westerlund (2007) <doi:10.1111/j.1468-0084.2007.00477.x>. The tests are based on structural rather than residual dynamics and allow for heterogeneity in both the long-run cointegrating relationship and the short-run dynamics. The package includes logic for automated lag and lead selection via AIC/BIC, Bartlett kernel long-run variance estimation, and a bootstrap procedure to handle cross-sectional dependence. It also includes a bootstrapping distribution visualization function for diagnostic purposes.
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Package details |
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| Author | Bosco Hung [aut, cre] (0000-0003-3073-303X) |
| Maintainer | Bosco Hung <bosco.hung@st-annes.ox.ac.uk> |
| License | MIT + file LICENSE |
| Version | 0.1.2 |
| URL | https://github.com/bosco-hung/WesterlundTest |
| Package repository | View on CRAN |
| Installation |
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