Westerlund: Panel Cointegration Tests Based on Westerlund (2007)
Implements a functional approximation of the four panel
cointegration tests developed by Westerlund (2007)
<doi:10.1111/j.1468-0084.2007.00477.x>. The tests are based on structural
rather than residual dynamics and allow for heterogeneity in both the
long-run cointegrating relationship and the short-run dynamics. The package
includes logic for automated lag and lead selection via AIC, Bartlett
kernel long-run variance estimation, and a bootstrap procedure to handle
cross-sectional dependence. It also includes a bootstrapping distribution
visualization function for diagnostic purposes.
| Version: |
0.1.1 |
| Depends: |
R (≥ 4.0.0) |
| Imports: |
stats, graphics, grDevices, utils, scales, dplyr, ggplot2, tidyr |
| Suggests: |
testthat (≥ 3.0.0), knitr, rmarkdown |
| Published: |
2026-01-17 |
| DOI: |
10.32614/CRAN.package.Westerlund (may not be active yet) |
| Author: |
Bosco Hung [aut, cre] (0000-0003-3073-303X) |
| Maintainer: |
Bosco Hung <bosco.hung at st-annes.ox.ac.uk> |
| BugReports: |
https://github.com/bosco-hung/WesterlundTest/issues |
| License: |
MIT + file LICENSE |
| URL: |
https://github.com/bosco-hung/WesterlundTest |
| NeedsCompilation: |
no |
| Materials: |
README |
| CRAN checks: |
Westerlund results |
Documentation:
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