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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.4 |
rolling linux/jammy R-4.5 | xtbreakcoint_1.0.4.tar.gz |
56.5 KiB |
1.0.4 |
rolling linux/noble R-4.5 | xtbreakcoint_1.0.4.tar.gz |
56.4 KiB |
1.0.4 |
rolling source/ R- | xtbreakcoint_1.0.4.tar.gz |
17.0 KiB |
1.0.4 |
latest linux/jammy R-4.5 | xtbreakcoint_1.0.4.tar.gz |
56.5 KiB |
1.0.4 |
latest linux/noble R-4.5 | xtbreakcoint_1.0.4.tar.gz |
56.4 KiB |
1.0.4 |
latest source/ R- | xtbreakcoint_1.0.4.tar.gz |
17.0 KiB |
1.0.4 |
2026-04-26 source/ R- | xtbreakcoint_1.0.4.tar.gz |
17.0 KiB |
1.0.4 |
2026-04-23 source/ R- | xtbreakcoint_1.0.4.tar.gz |
17.0 KiB |
1.0.4 |
2026-04-09 windows/windows R-4.5 | xtbreakcoint_1.0.4.zip |
59.3 KiB |