cointsmall: Cointegration Tests with Structural Breaks in Small Samples
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 small-sample adjusted critical values via response surface methodology.
| Version: | 1.0.2 |
| Depends: | R (≥ 3.5.0) |
| Imports: | stats |
| Suggests: | testthat (≥ 3.0.0) |
| Published: | 2026-03-19 |
| DOI: | 10.32614/CRAN.package.cointsmall (may not be active yet) |
| Author: | Muhammad Alkhalaf 
[aut, cre, cph],
Hoang Huy Trinh [ctb] |
| Maintainer: | Muhammad Alkhalaf <muhammedalkhalaf at gmail.com> |
| BugReports: | https://github.com/muhammedalkhalaf/cointsmall/issues |
| License: | GPL-3 |
| URL: | https://github.com/muhammedalkhalaf/cointsmall |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| CRAN checks: | cointsmall results |
Documentation:
| Reference manual: | cointsmall.html , cointsmall.pdf |
Downloads:
| Package source: | cointsmall_1.0.2.tar.gz |
| Windows binaries: | r-devel: not available, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): not available, r-oldrel (arm64): cointsmall_1.0.2.tgz, r-release (x86_64): cointsmall_1.0.2.tgz, r-oldrel (x86_64): cointsmall_1.0.2.tgz |
Linking:
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