xtbreakcoint: Panel Cointegration Tests with Structural Breaks
Implements panel cointegration tests allowing for structural breaks and cross-section dependence following the methodology of Banerjee and Carrion-i-Silvestre (2015) <doi:10.1002/jae.2348>. The package provides iterative factor-break estimation, individual ADF tests on defactored residuals, standardized panel test statistics, and the Bai and Ng (2004) <doi:10.1111/j.1468-0262.2004.00528.x> MQ test for identifying common stochastic trends. Supports five model specifications with varying deterministic components and break structures.
| Version: | 1.0.4 |
| Depends: | R (≥ 3.5.0) |
| Imports: | stats |
| Suggests: | testthat (≥ 3.0.0), knitr, rmarkdown |
| Published: | 2026-03-16 |
| DOI: | 10.32614/CRAN.package.xtbreakcoint (may not be active yet) |
| Author: | Muhammad Alkhalaf 
[aut, cre, cph],
Anindya Banerjee [ctb] (Original GAUSS code),
Josep Lluis Carrion-i-Silvestre [ctb] (Original GAUSS code) |
| Maintainer: | Muhammad Alkhalaf <muhammedalkhalaf at gmail.com> |
| BugReports: | https://github.com/muhammedalkhalaf/xtbreakcoint/issues |
| License: | GPL-3 |
| URL: | https://github.com/muhammedalkhalaf/xtbreakcoint |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| CRAN checks: | xtbreakcoint results |
Documentation:
| Reference manual: | xtbreakcoint.html , xtbreakcoint.pdf |
Downloads:
| Package source: | xtbreakcoint_1.0.4.tar.gz |
| Windows binaries: | r-devel: xtbreakcoint_1.0.4.zip, r-release: not available, r-oldrel: not available |
| macOS binaries: | r-release (arm64): not available, r-oldrel (arm64): xtbreakcoint_1.0.4.tgz, r-release (x86_64): not available, r-oldrel (x86_64): not available |
Linking:
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