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xtbreakcoint: Panel Cointegration Tests with Structural Breaks
Implements panel cointegration tests allowing for structural breaks and cross-section dependence following the methodology of Banerjee and Carrion-i-Silvestre (2015) <doi:10.1002/jae.2348>. The package provides iterative factor-break estimation, individual ADF tests on defactored residuals, standardized panel test statistics, and the Bai and Ng (2004) <doi:10.1111/j.1468-0262.2004.00528.x> MQ test for identifying common stochastic trends. Supports five model specifications with varying deterministic components and break structures.
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Package details |
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| Author | Muhammad Alkhalaf [aut, cre, cph] (ORCID: <https://orcid.org/0009-0002-2677-9246>), Anindya Banerjee [ctb] (Original GAUSS code), Josep Lluis Carrion-i-Silvestre [ctb] (Original GAUSS code) |
| Maintainer | Muhammad Alkhalaf <muhammedalkhalaf@gmail.com> |
| License | GPL-3 |
| Version | 1.0.4 |
| URL | https://github.com/muhammedalkhalaf/xtbreakcoint |
| Package repository | View on CRAN |
| Installation |
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