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COINT (version 0.0.2)

Unit Root Tests with Structural Breaks and Fully-Modified Estimators

Description

Procedures include Phillips (1995) FMVAR , Kitamura and Phillips (1997) FMGMM , Park (1992) CCR , and so on. Tests with 1 or 2 structural breaks include Gregory and Hansen (1996) , Zivot and Andrews (1992) , and Kurozumi (2002) .

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Version

Install

install.packages('COINT')

Monthly Downloads

177

Version

0.0.2

License

GPL (>= 2)

Maintainer

Ho Tsung-wu

Last Published

October 1st, 2025

Functions in COINT (0.0.2)

fm

Fully-Modified OLS Estimator
kpss

KPSS Unit Root Test for the null of stationarity
tukhan

Tukey-Hanning Kernel for Consistent Estimate of Long-run Variance
reisz

Reisz Kernel for Consistent Estimate of Long-run Variance
qs

Quadratic-Spectral Kernel for Consistent Estimate of Long-run Variance
kpss_1br

KPSS Unit Root Test with One Structural Break
fmgmm

Fully-Modified GMM Estimator
fmols

Multivariate Fully-Modified OLS Estimator
mdchlet

Modified Dirichlet Kernel for Consistent Estimate of Long-run Variance
fmvar_forecast

Forecast a FM-VAR System
fmvar

Fully-Modified VAR Estimator
kpss_2br

KPSS Unit Root Test with Two Structural Breaks
pp

Phillips and Perron Unit Root Test
parzen

Parzen Kernel for Consistent Estimate of Long-run Variance
fmgive

Fully-Modified GIVE Estimator
fmvar_plag

Select the q in a FMVAR(p,q) by Specific Criterion
fmQ

Fully-Modified OLS Estimator with Time Polynomial
sw

Stock-Watson Common Trends Statistic
tukham

Tukey-Hamming Kernel for Consistent Estimate of Long-run Variance
gw

Gauss-Weierstrass Kernel for Consistent Estimate of Long-run Variance
GHansen

Gregory-Hansen Test for Cointegration in Models with Regime Shifts
Kurozumi_QS

Quadratic Spectral Kernel for Consistent Estimate of Long-run Variance
bartlett

Bartlett Kernel for Consistent Estimate of Long-run Variance
ZA_1br

Zivot-Andrews unit root test with unknown one structural break.
CZa

Phillips' (1987) Za and Zt test for cointegration
SPC_QS

Quadratic Spectral Kernel for Consistent Estimate of Long-run Variance
SPC_Bartlett

Bartlett Kernel for Consistent Estimate of Long-run Variance
Bartlett_uni

Bartlett Kernel for Consistent Estimate of Long-run Variance
bohman

Bohman Kernel for Consistent Estimate of Long-run Variance
cauchy

Cauchy Kernel for Consistent Estimate of Long-run Variance
Kurozumi_Bartlett

Bartlett Kernel for Consistent Estimate of Long-run Variance
Za

Phillips' (1987) Za and Zt Test for Unit Root
ZA_2br

Zivot-Andrews unit root test with unknown one structural break.
data-sets

Macroeconomic Time Series Data Sets, 1967M1-2025M7
Parzen_uni

Parzen Kernel for Consistent Estimate of Long-run Variance
QS_uni

Quadratic Spectral Kernel for Consistent Estimate of Long-run Variance
ccr

Canonical Cointegrating Regression Estimator
dchlet

Dirichlet Kernel for Consistent Estimate of Long-run Variance
ccrQ

Canonical Cointegrating Regression with Time Polynomial