Package: COINT 0.0.2

Ho Tsung-wu

COINT: Unit Root Tests with Structural Breaks and Fully-Modified Estimators

Procedures include Phillips (1995) FMVAR <doi:10.2307/2171721>, Kitamura and Phillips (1997) FMGMM <doi:10.1016/S0304-4076(97)00004-3>, Park (1992) CCR <doi:10.2307/2951679>, and so on. Tests with 1 or 2 structural breaks include Gregory and Hansen (1996) <doi:10.1016/0304-4076(69)41685-7>, Zivot and Andrews (1992) <doi:10.2307/1391541>, and Kurozumi (2002) <doi:10.1016/S0304-4076(01)00106-3>.

Authors:Ho Tsung-wu [aut, cre]

COINT_0.0.2.tar.gz
COINT_0.0.2.tar.gz(r-4.6-any)COINT_0.0.2.tar.gz(r-4.5-any)
COINT_0.0.2.tgz(r-4.5-emscripten)
COINT.pdf |COINT.html✨
COINT/json (API)

# Install 'COINT' in R:
install.packages('COINT', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))
Datasets:
  • macro - Macroeconomic Time Series Data Sets, 1967M1-2025M7

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.51 score 1 stars 16 scripts 188 downloads 38 exports 2 dependencies

Last updated from:a186b9d196. Checks:4 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK142
source / vignettesOK187
linux-release-x86_64OK141
wasm-releaseOK101

Exports:bartlettBartlett_unibohmancauchyccrccrQCZadchletfmfmgivefmgmmfmolsfmQfmvarfmvar_forecastfmvar_plagGHansengwkpsskpss_1brkpss_2brKurozumi_BartlettKurozumi_QSmdchletparzenParzen_unippqsQS_unireiszSPC_BartlettSPC_QSswtukhamtukhanZaZA_1brZA_2br

Dependencies:timeDatetimeSeries

Readme and manuals

Help Manual

Help pageTopics
Bartlett Kernel for Consistent Estimate of Long-run Variancebartlett
Bartlett Kernel for Consistent Estimate of Long-run VarianceBartlett_uni
Bohman Kernel for Consistent Estimate of Long-run Variancebohman
Cauchy Kernel for Consistent Estimate of Long-run Variancecauchy
Canonical Cointegrating Regression Estimatorccr
Canonical Cointegrating Regression with Time PolynomialccrQ
Phillips' (1987) Za and Zt test for cointegrationCZa
Macroeconomic Time Series Data Sets, 1967M1-2025M7macro
Dirichlet Kernel for Consistent Estimate of Long-run Variancedchlet
Fully-Modified OLS Estimatorfm
Fully-Modified GIVE Estimatorfmgive
Fully-Modified GMM Estimatorfmgmm
Multivariate Fully-Modified OLS Estimatorfmols
Fully-Modified OLS Estimator with Time PolynomialfmQ
Fully-Modified VAR Estimatorfmvar
Forecast a FM-VAR Systemfmvar_forecast
Select the q in a FMVAR(p,q) by Specific Criterionfmvar_plag
Gregory-Hansen Test for Cointegration in Models with Regime ShiftsGHansen
Gauss-Weierstrass Kernel for Consistent Estimate of Long-run Variancegw
KPSS Unit Root Test for the null of stationaritykpss
KPSS Unit Root Test with One Structural Breakkpss_1br
KPSS Unit Root Test with Two Structural Breakskpss_2br
Bartlett Kernel for Consistent Estimate of Long-run VarianceKurozumi_Bartlett
Quadratic Spectral Kernel for Consistent Estimate of Long-run VarianceKurozumi_QS
Modified Dirichlet Kernel for Consistent Estimate of Long-run Variancemdchlet
Parzen Kernel for Consistent Estimate of Long-run Varianceparzen
Parzen Kernel for Consistent Estimate of Long-run VarianceParzen_uni
Phillips and Perron Unit Root Testpp
Quadratic-Spectral Kernel for Consistent Estimate of Long-run Varianceqs
Quadratic Spectral Kernel for Consistent Estimate of Long-run VarianceQS_uni
Reisz Kernel for Consistent Estimate of Long-run Variancereisz
Bartlett Kernel for Consistent Estimate of Long-run VarianceSPC_Bartlett
Quadratic Spectral Kernel for Consistent Estimate of Long-run VarianceSPC_QS
Stock-Watson Common Trends Statisticsw
Tukey-Hamming Kernel for Consistent Estimate of Long-run Variancetukham
Tukey-Hanning Kernel for Consistent Estimate of Long-run Variancetukhan
Phillips' (1987) Za and Zt Test for Unit RootZa
Zivot-Andrews unit root test with unknown one structural break.ZA_1br
Zivot-Andrews unit root test with unknown one structural break.ZA_2br