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 |
| Reference manual: | fjohansen.html , fjohansen.pdf |
| Package source: | fjohansen_0.1.0.tar.gz |
| Windows binaries: | r-devel: fjohansen_0.1.0.zip, r-release: fjohansen_0.1.0.zip, r-oldrel: fjohansen_0.1.0.zip |
| 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 |
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