Westerlund
Panel Cointegration Tests Based on Westerlund (2007)
v0.1.2
·
Feb 7, 2026
·
MIT + file LICENSE
Description
Implements a functional approximation of the four panel cointegration tests developed by Westerlund (2007) <doi:10.1111/j.1468-0084.2007.00477.x>. The tests are based on structural rather than residual dynamics and allow for heterogeneity in both the long-run cointegrating relationship and the short-run dynamics. The package includes logic for automated lag and lead selection via AIC/BIC, Bartlett kernel long-run variance estimation, and a bootstrap procedure to handle cross-sectional dependence. It also includes a bootstrapping distribution visualization function for diagnostic purposes.
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| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | OK |
| r-devel-linux-x86_64-debian-gcc | OK |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | OK |
| r-oldrel-macos-x86_64 | OK |
| r-oldrel-windows-x86_64 | OK |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (14 non-OK)
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r-devel-linux-x86_64-debian-clang
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r-devel-linux-x86_64-debian-gcc
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r-devel-linux-x86_64-fedora-clang
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r-devel-linux-x86_64-fedora-gcc
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r-devel-macos-arm64
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OK
r-devel-windows-x86_64
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OK
r-oldrel-macos-arm64
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r-oldrel-macos-x86_64
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OK
r-oldrel-windows-x86_64
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OK
r-patched-linux-x86_64
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OK
r-release-linux-x86_64
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r-release-macos-arm64
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r-release-macos-x86_64
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r-release-windows-x86_64
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OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026
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0.1.2
Mar 9, 2026