The hardware and bandwidth for this mirror is donated by dogado GmbH, the Webhosting and Full Service-Cloud Provider. Check out our Wordpress Tutorial.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]dogado.de.
The xtdhcoint package implements the Durbin-Hausman
panel cointegration tests of Westerlund (2008). The tests are robust to
cross-sectional dependence through common factor extraction using
principal components.
Install from CRAN:
install.packages("xtdhcoint")Or install the development version from GitHub:
# install.packages("devtools")
devtools::install_github("muhammedalkhalaf/xtdhcoint")library(xtdhcoint)
# Load example data
data(fisher_panel)
# Run Durbin-Hausman panel cointegration test
result <- xtdhcoint(inflation ~ interest, data = fisher_panel,
id = "country", time = "year")
# Print results
print(result)
# Detailed summary with decision table
summary(result)The package provides two test statistics:
DHg (Group-mean statistic): Tests the null of no cointegration against the heterogeneous alternative that at least some units are cointegrated.
DHp (Panel statistic): Tests the null of no cointegration against the homogeneous alternative that all units are cointegrated with a common autoregressive parameter.
Both statistics are right-tailed tests. Large positive values indicate evidence of cointegration.
kmax: Maximum number of common factors (default:
5)criterion: Information criterion for factor selection
(“ic”, “pc”, “aic”, “bic”)penalty: Penalty type (1, 2, or 3)bandwidth: Kernel bandwidth for long-run variance (-1
for automatic)Westerlund, J. (2008). Panel cointegration tests of the Fisher effect. Journal of Applied Econometrics, 23(2), 193–233. doi:10.1002/jae.963
GPL-3
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.