Overview | How it works | Example: a single level break | The diagnostic plot | Two engines | Critical values | More than five breaks | Accessing results | Reference
This package is hidden from search results because it is not hosted in the universe of the upstream owner
cran. To fix this you can add URL: https://cran.r-universe.dev/makicoint to the package DESCRIPTION file. See also theR-universe documentation.Package: makicoint 2.0.0
Merwan Roudane
makicoint: Maki Cointegration Test with Multiple Structural Breaks
Implements the Maki (2012) <doi:10.1016/j.econmod.2012.04.022> residual-based test for cointegration allowing for an unknown number of structural breaks. Breaks are located by a sequential procedure and the cointegrating residual is tested for a unit root with an augmented Dickey-Fuller (ADF) regression; the test statistic is the minimum ADF t-statistic over all candidate breaks. Four model specifications are supported (level shift, level shift with trend, regime shift, and regime shift with trend) and one to four regressors. The default engine reproduces the original 'GAUSS' / 'tspdlib' implementation, with an optional break rule following Maki (2012, Steps 2 and 4). The test runs for any feasible number of breaks; beyond the five tabulated by Maki, critical values can be simulated by his Monte-Carlo design. A two-panel diagnostic plot is provided via 'ggplot2'.
Authors:
makicoint_2.0.0.tar.gz
makicoint_2.0.0.tar.gz(r-4.7-any)makicoint_2.0.0.tar.gz(r-4.6-any)
makicoint_2.0.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
makicoint/json (API)
| # Install 'makicoint' in R: |
| install.packages('makicoint', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/merwanroudane/makicoint/issues
Last updated from:86a8739081. Checks:4 OK. Indexed: no.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 122 | ||
| source / vignettes | OK | 169 | ||
| linux-release-x86_64 | OK | 117 | ||
| wasm-release | OK | 109 |
Exports:coint_makicv_coint_maki
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Maki (2012) Cointegration Test with Multiple Structural Breaks | coint_maki print.maki_test |
| Critical Values for the Maki (2012) Cointegration Test | cv_coint_maki |
| Plot a Maki Cointegration Test Result | plot.maki_test |