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makicoint 2.0.0

Major correctness and feature release. Results from version 1.0.0 should be re-run, as the critical values and the break search have been corrected.

Corrections

• Critical values now match Maki (2012) Table 1 exactly and depend on the number of regressors (1-4), as the table requires. cv_coint_maki() takes the number of regressors k (was the unused sample size n).
• The break search now runs for all of m = 1, ..., 5 (and beyond); version 1.0.0 stopped at three breaks despite advertising five.
• The reference DOI in the DESCRIPTION is corrected to doi:10.1016/j.econmod.2012.04.022.

New features

• Any feasible number of breaks via a general recursive search (no longer capped), bounded only by the sample size and the trimming parameter.
• Two engines with the same test statistic: the default reproduces the original ‘GAUSS’/‘tspdlib’ implementation; engine = "paper" uses the Maki (2012, Steps 2 and 4) break rule.
• Simulated critical values for more than five breaks via simcv, using Maki’s Monte-Carlo design.
• plot() method (‘ggplot2’): a two-panel dashboard of the series with its break-adjusted long-run fit and the cointegrating residual.
• Additional ADF lag rules: lagmethod = "tsig" (default), "fixed", "zero", "aic", "bic".

Interface changes

• coint_maki() gains lagmethod, maxlags, engine, simcv, simt and simseed; the default trimm is now 0.10. The legacy lagoption argument is replaced by lagmethod.
• The result object adds break_fractions, cv_source, lags, engine and k, and stores the data to support plot().

makicoint 1.0.0

• First CRAN release: Maki (2012) cointegration test with structural breaks.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.