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cointsmall  

Cointegration Tests with Structural Breaks in Small Samples
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("cointsmall", "1.0.2")



Attach the package and use:
library("cointsmall")
Maintained by
Muhammad Alkhalaf
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-03-19
Latest Update: 2026-03-19
Description:
Implements cointegration tests with structural breaks designed for small sample sizes, following the methodology of Trinh (2022) <https://ideas.repec.org/p/ema/worpap/2022-01.html>. Supports models with no breaks, breaks in constant only, and breaks in both constant and slope. Provides endogenous break date detection using ADF or SSR minimization criteria, with small-sample adjusted critical values via response surface methodology.
How to cite:
Muhammad Alkhalaf (2026). cointsmall: Cointegration Tests with Structural Breaks in Small Samples. R package version 1.0.2, https://cran.r-project.org/web/packages/cointsmall. Accessed 06 Oct. 2026.
Previous versions and publish date:
(2026-09-28 22:00), 1.0.2 (2026-03-19 15:00)
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