Unit Root Tests with Structural Breaks and Fully-Modified Estimators

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Documentation for package ‘COINT’ version 0.0.1

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bartlett Bartlett Kernel for Consistent Estimate of Long-run Variance
Bartlett_uni Bartlett Kernel for Consistent Estimate of Long-run Variance
bohman Bohman Kernel for Consistent Estimate of Long-run Variance
cauchy Cauchy Kernel for Consistent Estimate of Long-run Variance
ccr Canonical Cointegrating Regression Estimator
ccrQ Canonical Cointegrating Regression with Time Polynomial
CZa Phillips' (1987) Za and Zt test for cointegration
dchlet Dirichlet Kernel for Consistent Estimate of Long-run Variance
fm Fully-Modified OLS Estimator
fmgmm Fully-Modified GMM Estimator
fmols Multivariate Fully-Modified OLS Estimator
fmQ Fully-Modified OLS Estimator with Time Polynomial
fmvar Fully-Modified VAR Estimator
fmvar_forecast Forecast a FM-VAR System
fmvar_plag Select the q in a FMVAR(p,q) by Specific Criterion
GHansen Gregory-Hansen Test for Cointegration in Models with Regime Shifts
gw Gauss-Weierstrass Kernel for Consistent Estimate of Long-run Variance
kpss KPSS Unit Root Test for the null of stationarity
kpss_1br KPSS Unit Root Test with One Structural Break
kpss_2br KPSS Unit Root Test with Two Structural Breaks
Kurozumi_Bartlett Bartlett Kernel for Consistent Estimate of Long-run Variance
Kurozumi_QS Quadratic Spectral Kernel for Consistent Estimate of Long-run Variance
macro Macroeconomic Time Series Data Sets, 1967M1-2025M7
mdchlet Modified Dirichlet Kernel for Consistent Estimate of Long-run Variance
parzen Parzen Kernel for Consistent Estimate of Long-run Variance
Parzen_uni Parzen Kernel for Consistent Estimate of Long-run Variance
pp Phillips and Perron Unit Root Test
qs Quadratic-Spectral Kernel for Consistent Estimate of Long-run Variance
QS_uni Quadratic Spectral Kernel for Consistent Estimate of Long-run Variance
reisz Reisz Kernel for Consistent Estimate of Long-run Variance
SPC_Bartlett Bartlett Kernel for Consistent Estimate of Long-run Variance
SPC_QS Quadratic Spectral Kernel for Consistent Estimate of Long-run Variance
sw Stock-Watson Common Trends Statistic
tukham Tukey-Hamming Kernel for Consistent Estimate of Long-run Variance
tukhan Tukey-Hanning Kernel for Consistent Estimate of Long-run Variance
Za Phillips' (1987) Za and Zt Test for Unit Root
ZA_1br Zivot-Andrews unit root test with unknown one structural break.
ZA_2br Zivot-Andrews unit root test with unknown one structural break.