hatemicoint

MaRDI QIDQ7368882CRANFDO

Authors Muhammad Alkhalaf

Last update 1 October 2026

Copyright license GNU General Public License, version 3.0

Software version identifier PACKAGES.rds, 1.0.1, 1.1.0

Description

Implements the Hatemi-J (2008) cointegration test which allows for two unknown structural breaks (regime shifts) in the cointegrating relationship. The test provides three test statistics: ADF* (Augmented Dickey-Fuller), Zt* (Phillips-Perron Z_t), and Za* (Phillips-Perron Z_alpha), along with endogenously determined break dates. Critical values are based on simulations from Hatemi-J (2008) <doi:10.1007/s00181-007-0175-9>. The long-run variance in the Phillips statistics is estimated by default with a prewhitened quadratic spectral kernel and the automatic bandwidth of Andrews (1991) <doi:10.2307/2938229>, following Andrews and Monahan (1992) <doi:10.2307/2951574>.

Cites work

• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Tests for cointegration with two unknown regime shifts with an application to financial market integration

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