makicoint
Maki Cointegration Test with Multiple Structural Breaks
Description
Implements the Maki (2012) <doi:10.1016/j.econmod.2012.04.022> residual-based test for cointegration allowing for an unknown number of structural breaks. Breaks are located by a sequential procedure and the cointegrating residual is tested for a unit root with an augmented Dickey-Fuller (ADF) regression; the test statistic is the minimum ADF t-statistic over all candidate breaks. Four model specifications are supported (level shift, level shift with trend, regime shift, and regime shift with trend) and one to four regressors. The default engine reproduces the original 'GAUSS' / 'tspdlib' implementation, with an optional break rule following Maki (2012, Steps 2 and 4). The test runs for any feasible number of breaks; beyond the five tabulated by Maki, critical values can be simulated by his Monte-Carlo design. A two-panel diagnostic plot is provided via 'ggplot2'.
Downloads
212
Last 30 days
21159th
586
Last 90 days
1.6K
Last year
Trend: +30.9% (30d vs prior 30d)
7
Last 30 days
20
Last 90 days
49
Last year
Trend: -41.7% (30d vs prior 30d)
3
Last 7 days
11
Last 30 days
0
All-time
autoCRAN-only: this name is served only by autoCRAN, so the count is exact.
CRAN Check Status
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 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
Version History
2 trackedR Observatory began tracking this package on Mar 10, 2026; it first appeared on CRAN Nov 4, 2025. Releases before tracking aren’t shown.