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hatemicoint  

Hatemi-J Cointegration Test with Two Unknown Regime Shifts
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("hatemicoint", "1.0.1")



Attach the package and use:
library("hatemicoint")
Maintained by
Muhammad Alkhalaf
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-03-13
Latest Update: 2026-03-13
Description:
Implements the Hatemi-J (2008) cointegration test which allows for two unknown structural breaks (regime shifts) in the cointegrating relationship. The test provides three test statistics: ADF* (Augmented Dickey-Fuller), Zt* (Phillips-Perron Z_t), and Za* (Phillips-Perron Z_alpha), along with endogenously determined break dates. Critical values are based on simulations from Hatemi-J (2008) <doi:10.1007/s00181-007-0175-9>.
How to cite:
Muhammad Alkhalaf (2026). hatemicoint: Hatemi-J Cointegration Test with Two Unknown Regime Shifts. R package version 1.0.1, https://cran.r-project.org/web/packages/hatemicoint. Accessed 27 Oct. 2026.
Previous versions and publish date:
(2026-10-01 17:50), 1.0.1 (2026-03-13 14:30)
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Complete documentation for hatemicoint
Functions, R codes and Examples using the hatemicoint R package
Full hatemicoint package functions and examples
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