hatemicoint
Hatemi-J Cointegration Test with Two Unknown Regime Shifts
Implements the Hatemi-J (2008) cointegration test which allows for two unknown structural breaks (regime shifts) in the cointegrating relationship. The test provides three test statistics: ADF* (Augmented Dickey-Fuller), Zt* (Phillips-Perron Z_t), and Za* (Phillips-Perron Z_alpha), along with endogenously determined break dates. Critical values are based on simulations from Hatemi-J (2008) <doi:10.1007/s00181-007-0175-9>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.1 |
rolling source/ R- | hatemicoint_1.0.1.tar.gz |
9.8 KiB |
1.0.1 |
rolling linux/jammy R-4.5 | hatemicoint_1.0.1.tar.gz |
37.6 KiB |
1.0.1 |
rolling linux/noble R-4.5 | hatemicoint_1.0.1.tar.gz |
37.5 KiB |
1.0.1 |
latest source/ R- | hatemicoint_1.0.1.tar.gz |
9.8 KiB |
1.0.1 |
latest linux/jammy R-4.5 | hatemicoint_1.0.1.tar.gz |
37.6 KiB |
1.0.1 |
latest linux/noble R-4.5 | hatemicoint_1.0.1.tar.gz |
37.5 KiB |
1.0.1 |
2026-04-23 source/ R- | hatemicoint_1.0.1.tar.gz |
9.8 KiB |
1.0.1 |
2026-04-09 windows/windows R-4.5 | hatemicoint_1.0.1.zip |
40.6 KiB |