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Initial CRAN release.
johansen_fourier() – Johansen cointegration test with
Fourier-type smooth nonlinear deterministic trends restricted to
cointegrating relations, following Kurita and Shintani (2025).CNR, LNR,
CNU, LNU, plus the standard constant- and
linear-trend restricted Johansen models.psy_wald_test(), select_frequencies(),
select_frequencies_univariate() – FGLS Wald
frequency-selection pre-step of Perron, Shintani and Yabu (2017).simulate_limit_distribution(),
simulate_limit_moments() – vectorised Monte-Carlo
simulators for the limiting trace distribution, with a per-session
in-memory cache (clear_jf_cache()).jf_quantile(), jf_p_value(),
jf_moments(), CNR_TABLE_B1 – bundled
critical-value tables and a Gamma-approximation p-value.generate_nf_dgp1() …
generate_nf_dgp4(), generate_f_dgp1(),
generate_f_dgp2(), plus a sample_jgb_data()
utility.format_trace_table(),
format_trace_latex(),
format_trace_html().plot_series(),
plot_limit_density(), plot_eigenvalues(),
plot_long_run(), plot_risk_premium(),
plot_residual_diagnostics(),
set_paper_theme().johansen_fourier objects:
print, summary, plot,
coef, residuals.These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
Health stats visible at Monitor.