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xtbreakcoint: Panel Cointegration Tests with Structural Breaks

Implements panel cointegration tests allowing for structural breaks and cross-section dependence following the methodology of Banerjee and Carrion-i-Silvestre (2015) <doi:10.1002/jae.2348>. The package provides iterative factor-break estimation, individual ADF tests on defactored residuals, standardized panel test statistics, and the Bai and Ng (2004) <doi:10.1111/j.1468-0262.2004.00528.x> MQ test for identifying common stochastic trends. Supports five model specifications with varying deterministic components and break structures.

Version: 1.0.4
Depends: R (≥ 3.5.0)
Imports: stats
Suggests: testthat (≥ 3.0.0), knitr, rmarkdown
Published: 2026-03-16
DOI: 10.32614/CRAN.package.xtbreakcoint
Author: Muhammad Alkhalaf ORCID iD [aut, cre, cph], Anindya Banerjee [ctb] (Original GAUSS code), Josep Lluis Carrion-i-Silvestre [ctb] (Original GAUSS code)
Maintainer: Muhammad Alkhalaf <muhammedalkhalaf at gmail.com>
BugReports: https://github.com/muhammedalkhalaf/xtbreakcoint/issues
License: GPL-3
URL: https://github.com/muhammedalkhalaf/xtbreakcoint
NeedsCompilation: no
Materials: README, NEWS
CRAN checks: xtbreakcoint results

Documentation:

Reference manual: xtbreakcoint.html , xtbreakcoint.pdf

Downloads:

Package source: xtbreakcoint_1.0.4.tar.gz
Windows binaries: r-devel: xtbreakcoint_1.0.4.zip, r-release: xtbreakcoint_1.0.4.zip, r-oldrel: xtbreakcoint_1.0.4.zip
macOS binaries: r-release (arm64): xtbreakcoint_1.0.4.tgz, r-oldrel (arm64): xtbreakcoint_1.0.4.tgz, r-release (x86_64): xtbreakcoint_1.0.4.tgz, r-oldrel (x86_64): xtbreakcoint_1.0.4.tgz

Linking:

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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.