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fjohansen
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Download and install fjohansen package within the R console
Install from CRAN:
install.packages("fjohansen")
Install from Github:
library("remotes")
install_github("cran/fjohansen") Install by package version:
library("remotes")
install_version("fjohansen", "0.1.0") Attach the package and use:
library("fjohansen")
Maintained by
Merwan Roudane
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First Published: 2026-06-02
Latest Update: 2026-06-02
Description:
Implements the Johansen cointegration test with Fourier-type smooth nonlinear deterministic trends restricted to cointegrating relations, as developed by Kurita and Shintani (2025) <doi:10.1080/07474938.2025.2530640>. Six model variants are supported: CNR (constant plus nonlinear, restricted in the cointegrating space), LNR (linear plus nonlinear, restricted), CNU (constant restricted, nonlinear unrestricted), LNU (linear restricted, nonlinear unrestricted), plus the standard constant- and linear-trend restricted Johansen models. The package also bundles the feasible generalised least squares (FGLS) Wald test of Perron, Shintani and Yabu (2017) <doi:10.1111/obes.12169> used as a frequency-selection pre-step, together with bundled critical-value tables, a vectorised simulator for the limiting distribution, publication-quality table exports (LaTeX and HTML) and 'ggplot2' figures matching those of the paper.
How to cite:
Merwan Roudane (2026). fjohansen: Johansen Cointegration Test with Fourier-Type Smooth Nonlinear Trends. R package version 0.1.0, https://cran.r-project.org/web/packages/fjohansen. Accessed 25 Oct. 2026.
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