xtrec
Panel Unit Root Test Based on Recursive Detrending
Implements the recursively detrended panel unit root tests proposed by Westerlund (2015) <doi:10.1016/j.jeconom.2014.09.013>. Two variants are provided: the basic t-REC test assuming iid errors, and the robust t-RREC test that accounts for serial correlation, cross-sectional dependence, and heteroskedasticity via defactoring and BIC-selected lag augmentation. Both tests have a standard normal null distribution requiring no mean or variance correction. The panel must be strongly balanced.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.0 |
rolling linux/jammy R-4.5 | xtrec_1.0.0.tar.gz |
39.8 KiB |
1.0.0 |
rolling linux/noble R-4.5 | xtrec_1.0.0.tar.gz |
39.7 KiB |
1.0.0 |
rolling source/ R- | xtrec_1.0.0.tar.gz |
8.3 KiB |
1.0.0 |
latest linux/jammy R-4.5 | xtrec_1.0.0.tar.gz |
39.8 KiB |
1.0.0 |
latest linux/noble R-4.5 | xtrec_1.0.0.tar.gz |
39.7 KiB |
1.0.0 |
latest source/ R- | xtrec_1.0.0.tar.gz |
8.3 KiB |
1.0.0 |
2026-04-26 source/ R- | xtrec_1.0.0.tar.gz |
8.3 KiB |
1.0.0 |
2026-04-23 source/ R- | xtrec_1.0.0.tar.gz |
8.3 KiB |
1.0.0 |
2026-04-09 windows/windows R-4.5 | xtrec_1.0.0.zip |
42.3 KiB |