hatemicoint 1.0.0
Initial CRAN Release
- Implements the Hatemi-J (2008) cointegration test with two unknown
regime shifts
- Three test statistics: ADF, Zt, and Za*
- Lag selection methods: t-statistic, AIC, SIC
- Kernel options: IID, Bartlett, Quadratic Spectral
- Critical values for k = 1 to 4 regressors
- Print and summary methods for test results
References
- Hatemi-J, A. (2008). Tests for cointegration with two unknown regime
shifts with an application to financial market integration.
Empirical Economics, 35, 497-505. DOI:
10.1007/s00181-007-0175-9