cointsmall
Cointegration Tests with Structural Breaks in Small Samples
v1.0.2
·
Mar 19, 2026
·
GPL-3
Description
Implements cointegration tests with structural breaks designed for small sample sizes, following the methodology of Trinh (2022) <https://ideas.repec.org/p/ema/worpap/2022-01.html>. Supports models with no breaks, breaks in constant only, and breaks in both constant and slope. Provides endogenous break date detection using ADF or SSR minimization criteria, with small-sample adjusted critical values via response surface methodology.
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CRAN Check Status
13
OK
Show all 13 flavors
| 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-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 History
OK 5 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 19, 2026
Version History
new
1.0.2
Mar 19, 2026