Package: Westerlund 0.1.3

Bosco Hung

Westerlund: Panel Cointegration Tests Based on Westerlund (2007)

Implements a functional approximation of the four panel cointegration tests developed by Westerlund (2007) <doi:10.1111/j.1468-0084.2007.00477.x>. The tests are based on structural rather than residual dynamics and allow for heterogeneity in both the long-run cointegrating relationship and the short-run dynamics. The package includes logic for automated lag and lead selection via AIC/BIC, Bartlett kernel long-run variance estimation, and a bootstrap procedure to handle cross-sectional dependence. It also includes a bootstrapping distribution visualization function for diagnostic purposes.

Authors:Bosco Hung [aut, cre]

Westerlund_0.1.3.tar.gz
Westerlund_0.1.3.tar.gz(r-4.7-any)Westerlund_0.1.3.tar.gz(r-4.6-any)
Westerlund_0.1.3.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
Westerlund/json (API)

# Install 'Westerlund' in R:
install.packages('Westerlund', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/bosco-hung/westerlundtest/issues

On CRAN:

Conda:

3.18 score 1 stars 3 scripts 579 downloads 11 exports 29 dependencies

Last updated from:2c94a7e0f5. Checks:4 OK. Indexed: no.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK151
source / vignettesOK196
linux-release-x86_64OK145
wasm-releaseOK105

Exports:calc_lrvar_bartlettDisplayWesterlundget_diffget_lagget_ts_valshiftNAwesterlund_testwesterlund_test_mgwesterlund_test_regWesterlundBootstrapWesterlundPlain

Dependencies:clicpp11dplyrfarvergenericsggplot2gluegtableisobandlabelinglifecyclemagrittrpillarpkgconfigpurrrR6RColorBrewerrlangS7scalesstringistringrtibbletidyrtidyselectutf8vctrsviridisLitewithr

Westerlund: Panel Cointegration Tests Based on Westerlund (2007)

Rendered frommy-vignette.Rmdusingknitr::rmarkdownon May 12 2026.

Last update: 2026-04-12
Started: 2026-01-17