combcoint

MaRDI QIDQ7401943CRANFDO

Authors Janine Langerbein, Jens Klenke

Last update 26 October 2026

Copyright license MIT license, File License

Software version identifier PACKAGES.rds, 0.2.0, 0.3.0

Description

Implements a joint cointegration testing approach that combines Engle-Granger, Johansen maximum eigenvalue, Boswijk, and Banerjee tests into a unified test-statistic for the null of non-cointegration. Also see Bayer and Hanck (2013) <doi:10.1111/j.1467-9892.2012.00814.x>.

Cites work

• Combining non-cointegration tests

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