makicoint 2.0.0

Major correctness and feature release. Results from version 1.0.0 should be re-run, as the critical values and the break search have been corrected.

Corrections

• Critical values now match Maki (2012) Table 1 exactly and depend on the number of regressors (1-4), as the table requires. cv_coint_maki() takes the number of regressors k (was the unused sample size n).
• The break search now runs for all of m = 1, ..., 5 (and beyond); version 1.0.0 stopped at three breaks despite advertising five.
• The reference DOI in the DESCRIPTION is corrected to doi:10.1016/j.econmod.2012.04.022.

New features

• Any feasible number of breaks via a general recursive search (no longer capped), bounded only by the sample size and the trimming parameter.
• Two engines with the same test statistic: the default reproduces the original ‘GAUSS’/‘tspdlib’ implementation; engine = "paper" uses the Maki (2012, Steps 2 and 4) break rule.
• Simulated critical values for more than five breaks via simcv, using Maki’s Monte-Carlo design.
• plot() method (‘ggplot2’): a two-panel dashboard of the series with its break-adjusted long-run fit and the cointegrating residual.
• Additional ADF lag rules: lagmethod = "tsig" (default), "fixed", "zero", "aic", "bic".

Interface changes

• coint_maki() gains lagmethod, maxlags, engine, simcv, simt and simseed; the default trimm is now 0.10. The legacy lagoption argument is replaced by lagmethod.
• The result object adds break_fractions, cv_source, lags, engine and k, and stores the data to support plot().

makicoint 1.0.0

• First CRAN release: Maki (2012) cointegration test with structural breaks.