Westerlund
Panel Cointegration Tests Based on Westerlund (2007)
Implements a functional approximation of the four panel cointegration tests developed by Westerlund (2007) <doi:10.1111/j.1468-0084.2007.00477.x>. The tests are based on structural rather than residual dynamics and allow for heterogeneity in both the long-run cointegrating relationship and the short-run dynamics. The package includes logic for automated lag and lead selection via AIC/BIC, Bartlett kernel long-run variance estimation, and a bootstrap procedure to handle cross-sectional dependence. It also includes a bootstrapping distribution visualization function for diagnostic purposes.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.3 |
rolling linux/jammy R-4.5 | Westerlund_0.1.3.tar.gz |
248.7 KiB |
0.1.3 |
rolling linux/noble R-4.5 | Westerlund_0.1.3.tar.gz |
248.6 KiB |
0.1.3 |
rolling source/ R- | Westerlund_0.1.3.tar.gz |
138.3 KiB |
0.1.3 |
latest linux/jammy R-4.5 | Westerlund_0.1.3.tar.gz |
248.7 KiB |
0.1.3 |
latest linux/noble R-4.5 | Westerlund_0.1.3.tar.gz |
248.6 KiB |
0.1.3 |
latest source/ R- | Westerlund_0.1.3.tar.gz |
138.3 KiB |
0.1.3 |
2026-04-26 source/ R- | Westerlund_0.1.3.tar.gz |
138.3 KiB |
0.1.3 |
2026-04-23 source/ R- | Westerlund_0.1.3.tar.gz |
138.3 KiB |
0.1.2 |
2026-04-09 windows/windows R-4.5 | Westerlund_0.1.2.zip |
238.9 KiB |