xtcadfcoint: Panel CADF Cointegration Test with Structural Breaks

In cointests: Comprehensive Cointegration Tests with Fourier and Panel Methods

Panel CADF Cointegration Test with Structural Breaks

Description

Tests the null hypothesis of no cointegration in panel data using the cross-sectionally augmented Dickey-Fuller (CADF) approach of Banerjee and Carrion-i-Silvestre (2025). Accounts for cross-sectional dependence via the Common Correlated Effects (CCE) estimator and allows for structural breaks.

Usage

xtcadfcoint(formula, data, index, model = 1, breaks = 0,
            trimming = 0.15, maxlags = 4, lagselect = "bic",
            nfactors = 1, brk_slope = FALSE, brk_loadings = FALSE,
            cce = TRUE, simulate = 0, level = 95)

Arguments

formula	A formula of the form y ~ x1 + x2 + ....
data	A data frame in long format.
index	Character vector of length 2: c("id_var", "time_var").
model	Integer (0-5) specifying the deterministic component.
breaks	Integer (0, 1, or 2). Number of structural breaks.
trimming	Numeric. Trimming fraction for break date search. Default 0.15.
maxlags	Maximum lag order for ADF augmentation. Default 4.
lagselect	Lag selection: "bic", "aic", "maic", "mbic", or "fixed".
nfactors	Integer. Number of common factors for CCE. Default 1.
brk_slope	Logical. Allow breaks in cointegrating vector slopes.
brk_loadings	Logical. Allow breaks in factor loadings.
cce	Logical. Apply CCE augmentation. Default TRUE.
simulate	Integer. Bootstrap replications for critical values (0 = skip).
level	Confidence level in percent. Default 95.

Value

An object of class "xtcadfcoint" containing panel CIPS statistics, individual CADF statistics, estimated break dates, and coefficient estimates.

References

Banerjee, A. and Carrion-i-Silvestre, J.L. (2024). Panel Data Cointegration Testing with Structural Instabilities. Journal of Business & Economic Statistics, 43, 122–133. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1080/07350015.2024.2327844")}

Examples

set.seed(42)
n <- 5; tt <- 30
uid  <- rep(1:n, each = tt)
tval <- rep(1:tt, times = n)
x_it <- cumsum(rnorm(n * tt))
y    <- x_it + rnorm(n * tt, sd = 0.5)
dat  <- data.frame(id = uid, time = tval, y = y, x = x_it)
res  <- xtcadfcoint(y ~ x, data = dat, index = c("id", "time"), model = 1)
print(res)

cointests documentation built on March 27, 2026, 5:07 p.m.