NEWS.md

In xtbreakcoint: Panel Cointegration Tests with Structural Breaks

xtbreakcoint 1.0.1

Initial CRAN release.

Features

• Panel cointegration test with structural breaks following Banerjee & Carrion-i-Silvestre (2015, JAE)
• Cross-section dependence handled via common factor estimation
• Five model specifications for deterministic components
• Automatic factor number selection using Bai & Ng (2002) IC criterion
• Structural break date estimation via SSR minimization
• Individual ADF tests on defactored residuals
• Standardized panel test statistic with Monte Carlo moments
• Bai & Ng (2004) MQ test for identifying common stochastic trends
• Automatic or fixed lag selection for ADF regressions

References

• Banerjee, A., & Carrion-i-Silvestre, J. L. (2015). Cointegration in panel data with structural breaks and cross-section dependence. Journal of Applied Econometrics, 30(1), 1-22. doi:10.1002/jae.2431

• Bai, J., & Ng, S. (2004). A PANIC attack on unit roots and cointegration. Econometrica, 72(4), 1127-1177. doi:10.1111/j.1468-0262.2004.00496.x

xtbreakcoint documentation built on March 16, 2026, 5:09 p.m.