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cointests: Comprehensive Cointegration Tests with Fourier and Panel Methods
A unified toolkit for cointegration testing including Fourier-based cointegration tests (FADL, FEG, FEG2, Tsong) that accommodate smooth structural breaks via flexible Fourier terms, and panel CADF cointegration tests with structural breaks using the Common Correlated Effects (CCE) estimator following Banerjee, Arcabic and Lee (2017) <doi:10.1016/j.econmod.2017.03.004>, Tsong, Lee, Tsai and Hu (2016) <doi:10.1007/s00181-015-1028-6>, and Banerjee and Carrion-i-Silvestre (2025) <doi:10.1080/07350015.2024.2327844>.
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Package details |
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| Author | Muhammad Abdullah Alkhalaf [aut, cre, cph] (ORCID: <https://orcid.org/0009-0002-2677-9246>) |
| Maintainer | Muhammad Abdullah Alkhalaf <muhammedalkhalaf@gmail.com> |
| License | GPL-3 |
| Version | 1.0.0 |
| Package repository | View on CRAN |
| Installation |
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