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combcoint: A Joint Test-Statistic for the Null of Non-Cointegration
Implements a joint cointegration testing approach that combines Engle-Granger, Johansen maximum eigenvalue, Boswijk, and Banerjee tests into a unified test-statistic for the null of non-cointegration. Also see Bayer and Hanck (2013) <doi:10.1111/j.1467-9892.2012.00814.x>.
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Package details |
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| Author | Janine Langerbein [aut, cre, cph], Jens Klenke [aut] (ORCID: <https://orcid.org/0000-0001-6292-3968>) |
| Maintainer | Janine Langerbein <janine.langerbein@icloud.com> |
| License | MIT + file LICENSE |
| Version | 0.2.0 |
| URL | https://github.com/Janine-Langerbein/combcoint |
| Package repository | View on CRAN |
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