hatemicoint 1.0.0

Initial CRAN Release

• Implements the Hatemi-J (2008) cointegration test with two unknown regime shifts
• Three test statistics: ADF, Zt, and Za*
• Lag selection methods: t-statistic, AIC, SIC
• Kernel options: IID, Bartlett, Quadratic Spectral
• Critical values for k = 1 to 4 regressors
• Print and summary methods for test results

References

• Hatemi-J, A. (2008). Tests for cointegration with two unknown regime shifts with an application to financial market integration. Empirical Economics, 35, 497-505. DOI: 10.1007/s00181-007-0175-9