xtbreakcoint-package: Panel Cointegration Tests with Structural Breaks

In xtbreakcoint: Panel Cointegration Tests with Structural Breaks

Panel Cointegration Tests with Structural Breaks

Description

Implements panel cointegration tests allowing for structural breaks and cross-section dependence following the methodology of Banerjee and Carrion-i-Silvestre (2015). The package provides iterative factor-break estimation, individual ADF tests on defactored residuals, standardized panel test statistics, and the Bai and Ng (2004) MQ test for identifying common stochastic trends.

Details

The main function is xtbreakcoint, which performs the panel cointegration test.

Key Features:

• Accounts for cross-section dependence through common factors

• Allows for structural breaks in the cointegrating relationship

• Supports five model specifications with varying deterministic components

• Provides individual and panel test statistics

• Includes the Bai & Ng (2004) MQ test for stochastic trends

Model Specifications:

Model 1 (constant)

Constant only

Model 2 (trend)

Constant plus linear trend

Model 3 (levelshift)

Constant plus level shift at break

Model 4 (trendshift)

Constant, trend, plus level shift (default)

Model 5 (regimeshift)

Constant, trend, level shift, plus slope shift

Author(s)

Muhammad Alkhalaf

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. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1002/jae.2348")}

Bai, J., & Ng, S. (2004). A PANIC attack on unit roots and cointegration. Econometrica, 72(4), 1127-1177. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1111/j.1468-0262.2004.00528.x")}

Bai, J., & Ng, S. (2002). Determining the number of factors in approximate factor models. Econometrica, 70(1), 191-221. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1111/1468-0262.00273")}

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