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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.