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Westerlund  

Panel Cointegration Tests Based on Westerlund (2007)
View on CRAN: Click here


Download and install Westerlund package within the R console
Install from CRAN:
install.packages("Westerlund")

Install from Github:
library("remotes")
install_github("cran/Westerlund")

Install by package version:
library("remotes")
install_version("Westerlund", "0.1.1")



Attach the package and use:
library("Westerlund")
Maintained by
Bosco Hung
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-01-17
Latest Update: 2026-01-17
Description:
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.
How to cite:
Bosco Hung (2026). Westerlund: Panel Cointegration Tests Based on Westerlund (2007). R package version 0.1.1, https://cran.r-project.org/web/packages/Westerlund. Accessed 21 Aug. 2026.
Previous versions and publish date:
(2026-07-09 08:29), 0.1.1 (2026-01-17 21:10), 0.1.2 (2026-02-07 15:00)
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Complete documentation for Westerlund
Functions, R codes and Examples using the Westerlund R package
Full Westerlund package functions and examples
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