cointsmall
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Cointsmall
Description
Implements cointegration tests with structural breaks designed for small sample sizes, following the methodology of Trinh (2022) <https://ideas.repec.org/p/ema/worpap/2022-01.html>. Supports models with no breaks, breaks in constant only, and breaks in both constant and slope. Provides endogenous break date detection using ADF or SSR minimization criteria, with the size-corrected 5% critical values of the response surfaces in Trinh (2022), for up to three regressors.
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