fjohansen: Johansen Cointegration Test with Fourier-Type Smooth Nonlinear Trends

Implements the Johansen cointegration test with Fourier-type smooth nonlinear deterministic trends restricted to cointegrating relations, as developed by Kurita and Shintani (2025) <doi:10.1080/07474938.2025.2530640>. Six model variants are supported: CNR (constant plus nonlinear, restricted in the cointegrating space), LNR (linear plus nonlinear, restricted), CNU (constant restricted, nonlinear unrestricted), LNU (linear restricted, nonlinear unrestricted), plus the standard constant- and linear-trend restricted Johansen models. The package also bundles the feasible generalised least squares (FGLS) Wald test of Perron, Shintani and Yabu (2017) <doi:10.1111/obes.12169> used as a frequency-selection pre-step, together with bundled critical-value tables, a vectorised simulator for the limiting distribution, publication-quality table exports (LaTeX and HTML) and 'ggplot2' figures matching those of the paper.

Version:	0.1.0
Depends:	R (≥ 4.0.0)
Imports:	stats, utils, grDevices, graphics, ggplot2 (≥ 3.4.0), scales
Suggests:	testthat (≥ 3.0.0), kableExtra, knitr, rmarkdown, patchwork
Published:	2026-06-02
DOI:	10.32614/CRAN.package.fjohansen
Author:	Merwan Roudane [aut, cre]
Maintainer:	Merwan Roudane <merwanroudane920 at gmail.com>
BugReports:	https://github.com/merwanroudane/fjohansen/issues
License:	MIT + file LICENSE
URL:	https://github.com/merwanroudane/fjohansen
NeedsCompilation:	no
Materials:	README, NEWS
CRAN checks:	fjohansen results

Documentation:

Reference manual:

fjohansen.html , fjohansen.pdf

Downloads:

Package source:	fjohansen_0.1.0.tar.gz
Windows binaries:	r-devel: not available, r-release: fjohansen_0.1.0.zip, r-oldrel: not available
macOS binaries:	r-release (arm64): fjohansen_0.1.0.tgz, r-oldrel (arm64): fjohansen_0.1.0.tgz, r-release (x86_64): fjohansen_0.1.0.tgz, r-oldrel (x86_64): fjohansen_0.1.0.tgz

Linking:

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