hatemicoint: Hatemi-J Cointegration Test with Two Unknown Regime Shifts
Implements the Hatemi-J (2008) cointegration test which allows for two unknown structural breaks (regime shifts) in the cointegrating relationship. The test provides three test statistics: ADF* (Augmented Dickey-Fuller), Zt* (Phillips-Perron Z_t), and Za* (Phillips-Perron Z_alpha), along with endogenously determined break dates. Critical values are based on simulations from Hatemi-J (2008) <doi:10.1007/s00181-007-0175-9>. The long-run variance in the Phillips statistics is estimated by default with a prewhitened quadratic spectral kernel and the automatic bandwidth of Andrews (1991) <doi:10.2307/2938229>, following Andrews and Monahan (1992) <doi:10.2307/2951574>.
| Version: | 1.1.0 |
| Depends: | R (≥ 3.5.0) |
| Imports: | stats |
| Suggests: | testthat (≥ 3.0.0) |
| Published: | 2026-10-01 |
| DOI: | 10.32614/CRAN.package.hatemicoint |
| Author: | Muhammad Alkhalaf 
[aut, cre, cph] |
| Maintainer: | Muhammad Alkhalaf <muhammedalkhalaf at gmail.com> |
| BugReports: | https://github.com/muhammedalkhalaf/hatemicoint/issues |
| License: | GPL-3 |
| URL: | https://github.com/muhammedalkhalaf/hatemicoint |
| NeedsCompilation: | no |
| Citation: | hatemicoint citation info |
| Materials: | README, NEWS |
| CRAN checks: | hatemicoint results |
Documentation:
| Reference manual: | hatemicoint.html , hatemicoint.pdf |
Downloads:
| Package source: | hatemicoint_1.1.0.tar.gz |
| Windows binaries: | r-devel: hatemicoint_1.0.1.zip, r-release: hatemicoint_1.0.1.zip, r-oldrel: hatemicoint_1.0.1.zip |
| macOS binaries: | r-release (arm64): hatemicoint_1.0.1.tgz, r-oldrel (arm64): hatemicoint_1.0.1.tgz, r-release (x86_64): hatemicoint_1.1.0.tgz, r-oldrel (x86_64): hatemicoint_1.1.0.tgz |
| Old sources: | hatemicoint archive |
Linking:
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