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cointsmall 1.0.4

• Bug fix: the critical values did not come from Trinh (2022). The model “o” table was shifted by one regressor (the m = 1 row held the Dickey-Fuller values of a single series), and the tables for one and two breaks were not the published response surfaces. The 5% critical values are now computed from the response surfaces in Table 13 of Trinh (2022), for m = 1, 2, 3 regressors; they reproduce Table 1 of the paper.
• Bug fix: the p-value was extrapolated from these tables and could exceed 1 (16.29 in one test case). Trinh (2022) publishes the 5% quantile only, so pvalue, cv01 and cv10 are now NA, level must be 5, and cointsmall_cv() stops for other levels or more than three regressors.
• The author of the methodology is Jerome Trinh; the reference is corrected, and the contributor entry in Authors@R, which named another person and did not correspond to any contributed code, is removed.
• The ADF* statistic and break dates are unchanged; they agree with the Stata command cointsmall (SSC) on the same data.

cointsmall 1.0.3

• Removed a DOI wrongly attached to the MacKinnon (2010) working paper; the citation text is unchanged. No changes to code.

cointsmall 1.0.0

• Initial CRAN release.

Features

• cointsmall(): Main function for cointegration tests with structural breaks in small samples
• cointsmall_combined(): Combined testing procedure evaluating all model specifications
• cointsmall_cv(): Function to retrieve critical values for different model configurations

Model Specifications

• Model “o”: No structural break (standard Engle-Granger test)
• Model “c”: Break in constant only (Gregory-Hansen style level shift)
• Model “cs”: Break in constant and slope (regime change model)

Supported Options

• 0, 1, or 2 structural breaks
• Break date selection via minimum ADF statistic or minimum SSR
• Adjustable trimming parameter for break date search
• Automatic lag selection for ADF test using BIC
• Small-sample adjusted critical values via response surface methodology

References

• Based on Trinh (2022) “Testing for cointegration with structural changes in very small sample”

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.