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.
| Version: | 0.1.2 |
| Depends: | R (≥ 4.0.0) |
| Imports: | stats, graphics, grDevices, utils, scales, dplyr, ggplot2, tidyr |
| Suggests: | testthat (≥ 3.0.0), knitr, rmarkdown |
| Published: | 2026-02-07 |
| DOI: | 10.32614/CRAN.package.Westerlund |
| Author: | Bosco Hung [aut, cre] (0000-0003-3073-303X) |
| Maintainer: | Bosco Hung <bosco.hung at st-annes.ox.ac.uk> |
| BugReports: | https://github.com/bosco-hung/WesterlundTest/issues |
| License: | MIT + file LICENSE |
| URL: | https://github.com/bosco-hung/WesterlundTest |
| NeedsCompilation: | no |
| Materials: | README |
| CRAN checks: | Westerlund results |
| Reference manual: | Westerlund.html , Westerlund.pdf |
| Vignettes: |
Westerlund: Panel Cointegration Tests Based on Westerlund (2007) (source, R code) |
| Package source: | Westerlund_0.1.2.tar.gz |
| Windows binaries: | r-devel: Westerlund_0.1.2.zip, r-release: Westerlund_0.1.2.zip, r-oldrel: Westerlund_0.1.2.zip |
| macOS binaries: | r-release (arm64): Westerlund_0.1.2.tgz, r-oldrel (arm64): Westerlund_0.1.2.tgz, r-release (x86_64): Westerlund_0.1.2.tgz, r-oldrel (x86_64): Westerlund_0.1.2.tgz |
| Old sources: | Westerlund archive |
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