xtdhcoint 1.0.0
- Initial CRAN release.
- Main function
xtdhcoint() for Durbin-Hausman panel
cointegration tests.
- DHg (group-mean) and DHp (panel) test statistics.
- Automatic factor number selection via information criteria (IC, PC,
AIC, BIC).
- Long-run variance estimation using Bartlett kernel.
- Cross-sectional dependence handled through common factor
extraction.
- Example dataset
fisher_panel for testing Fisher
effect.