Unit Root Tests with Structural Breaks and Fully-Modified Estimators
Overview
Procedures include Phillips (1995) FMVAR doi:10.2307/2171721, Kitamura and Phillips (1997) FMGMM doi:10.1016/S0304-4076(97)00004-3, Park (1992) CCR doi:10.2307/2951679, and so on. Tests with 1 or 2 structural breaks include Gregory and Hansen (1996) doi:10.1016/0304-4076(69)41685-7, Zivot and Andrews (1992) doi:10.2307/1391541, and Kurozumi (2002) doi:10.1016/S0304-4076(01)00106-3.
Install
Health
- OK13 OK2026-09-12
- ERROR12 OK, 1 ERROR2026-09-04
- OK13 OK2026-08-05
- NOTE12 OK, 1 NOTE2026-08-01
- OK13 OK2026-05-13
Show 2 earlier changesHide 2 earlier changes
- ERROR11 OK, 2 ERROR2026-05-06
- OK14 OK2026-03-10
Documentation
- Help pages
- 39
- Examples that run
- 100%38 run in a plain check
- Exported functions with examples
- 100%
- Documented parameters
- 100%
- Return-value docs
- 100%
- Help pages citing references
- 95%
Downloads
Dependencies
Installing COINT adds 2 packages (0 with compiled code, 1.8 MB of source tarballs). Heaviest: timeSeries 1.4 MB, timeDate 359 KB.
Code & Tests
Datasets
People & History
Package metadata
- First published
- 2025-09-08
- Total releases
- 4 / 1 yrs
- License
- GPL (>= 2) OSI
- Minimum R
- ≥ 3.5
- Bundled data
- 23 KB / 1 file
- Download size
- 80 KB
Cite
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