cointests

MaRDI QIDQ7369214CRANFDO

Authors Muhammad Alkhalaf

Last update 29 September 2026

Copyright license GNU General Public License, version 3.0

Software version identifier PACKAGES.rds, 1.0.0, 1.1.0

Description

A unified toolkit for cointegration testing including Fourier-based cointegration tests (FADL, FEG, FEG2, Tsong) that accommodate smooth structural breaks via flexible Fourier terms, and panel CADF cointegration tests with structural breaks using the Common Correlated Effects (CCE) estimator following Banerjee, Arcabic and Lee (2017) <doi:10.1016/j.econmod.2016.11.004>, Tsong, Lee, Tsai and Hu (2016) <doi:10.1007/s00181-015-1028-6>, and Banerjee and Carrion-i-Silvestre (2025) <doi:10.1080/07350015.2024.2327844>.

Cites work

• Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market
• Panel Data Cointegration Testing with Structural Instabilities
• The Fourier approximation and testing for the null of cointegration

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