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hatemicoint: Hatemi-J Cointegration Test with Two Unknown Regime Shifts

Implements the Hatemi-J (2008) cointegration test which allows for two unknown structural breaks (regime shifts) in the cointegrating relationship. The test provides three test statistics: ADF* (Augmented Dickey-Fuller), Zt* (Phillips-Perron Z_t), and Za* (Phillips-Perron Z_alpha), along with endogenously determined break dates. Critical values are based on simulations from Hatemi-J (2008) <doi:10.1007/s00181-007-0175-9>.

Version: 1.0.1
Depends: R (≥ 3.5.0)
Imports: stats
Suggests: testthat (≥ 3.0.0), knitr, rmarkdown
Published: 2026-03-13
DOI: 10.32614/CRAN.package.hatemicoint (may not be active yet)
Author: Muhammad Alkhalaf ORCID iD [aut, cre, cph]
Maintainer: Muhammad Alkhalaf <muhammedalkhalaf at gmail.com>
BugReports: https://github.com/muhammedalkhalaf/hatemicoint/issues
License: GPL-3
URL: https://github.com/muhammedalkhalaf/hatemicoint
NeedsCompilation: no
Materials: README, NEWS
CRAN checks: hatemicoint results

Documentation:

Reference manual: hatemicoint.html , hatemicoint.pdf

Downloads:

Package source: hatemicoint_1.0.1.tar.gz
Windows binaries: r-devel: not available, r-release: not available, r-oldrel: not available
macOS binaries: r-release (arm64): not available, r-oldrel (arm64): hatemicoint_1.0.1.tgz, r-release (x86_64): not available, r-oldrel (x86_64): not available

Linking:

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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.
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