Type of Publication: Working paper

combcoint: A Joint Test-Statistic for the Null of Non-Cointegration - R package version 0.2.0

Author(s):

Langerbein, Janine; Klenke, Jens

Publication Date:

2025

Digital Object Identifier (DOI):

doi:10.32614/CRAN.package.combcoint

Link to complete version:

https://CRAN.R-project.org/package=combcoint

Citation:

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Abstract

Implements a joint cointegration testing approach that combines Engle-Granger, Johansen maximum eigenvalue, Boswijk, and Banerjee tests into a unified test-statistic for the null of non-cointegration.