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xtbreakcoint  

Panel Cointegration Tests with Structural Breaks
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("xtbreakcoint", "1.0.4")



Attach the package and use:
library("xtbreakcoint")
Maintained by
Muhammad Alkhalaf
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-03-16
Latest Update: 2026-03-16
Description:
Implements panel cointegration tests allowing for structural breaks and cross-section dependence following the methodology of Banerjee and Carrion-i-Silvestre (2015) <doi:10.1002/jae.2348>. The package provides iterative factor-break estimation, individual ADF tests on defactored residuals, standardized panel test statistics, and the Bai and Ng (2004) <doi:10.1111/j.1468-0262.2004.00528.x> MQ test for identifying common stochastic trends. Supports five model specifications with varying deterministic components and break structures.
How to cite:
Muhammad Alkhalaf (2026). xtbreakcoint: Panel Cointegration Tests with Structural Breaks. R package version 1.0.4, https://cran.r-project.org/web/packages/xtbreakcoint. Accessed 24 Oct. 2026.
Previous versions and publish date:
(2026-09-30 23:30), 1.0.4 (2026-03-16 17:00)
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Complete documentation for xtbreakcoint
Functions, R codes and Examples using the xtbreakcoint R package
Full xtbreakcoint package functions and examples
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