hatemicoint
Hatemi-J Cointegration Test with Two Unknown Regime Shifts
v1.0.1
·
Mar 13, 2026
·
GPL-3
Description
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>.
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Show all 14 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-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 History
OK 3 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 13, 2026
Version History
new
1.0.1
Mar 13, 2026