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, 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:	0.1.1
Depends:	R (≥ 4.0.0)
Imports:	stats, graphics, grDevices, utils, scales, dplyr, ggplot2, tidyr
Suggests:	testthat (≥ 3.0.0), knitr, rmarkdown
Published:	2026-01-17
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

Documentation:

Reference manual:	Westerlund.html , Westerlund.pdf
Vignettes:	Westerlund: Panel Cointegration Tests Based on Westerlund (2007) (source, R code)

Downloads:

Package source:	Westerlund_0.1.1.tar.gz
Windows binaries:	r-devel: not available, r-release: not available, r-oldrel: Westerlund_0.1.1.zip
macOS binaries:	r-release (arm64): Westerlund_0.1.1.tgz, r-oldrel (arm64): Westerlund_0.1.1.tgz, r-release (x86_64): Westerlund_0.1.1.tgz, r-oldrel (x86_64): Westerlund_0.1.1.tgz

Linking:

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