Westerlund0.1.2 package

Panel Cointegration Tests Based on Westerlund (2007)

calc_lrvar_bartlett

Long-Run Variance Estimation with Bartlett Kernel

DisplayWesterlund

Standardize and Display Westerlund ECM Panel Cointegration Test Result...

get_diff

First Difference with Strict Time Indexing

get_lag

Time-Indexed Lag Extraction with Explicit Gaps

get_ts_val

Strict Time-Series Mapping with Explicit Gaps

plot_westerlund_bootstrap

Plot Bootstrap Distributions for Westerlund ECM Panel Cointegration Te...

shiftNA

NA-Padded Lag and Lead Operator

westerlund_test_mg

Print Mean-Group ECM Output and Long-Run Relationship Tables

westerlund_test_reg

Formatted Coefficient Table for Westerlund Test Reporting

westerlund_test

Westerlund ECM-Based Panel Cointegration Test

WesterlundBootstrap

Bootstrap Routine for Westerlund ECM Panel Cointegration Tests

WesterlundPlain

Compute Raw Westerlund ECM Panel Cointegration Statistics (Plain Routi...

Download source packageRead PDF manual

Implements a functional approximation of the four panel cointegration tests developed by Westerlund (2007) <doi:10.1111/j.1468-0084.2007.00477.x>. The tests are based on structural rather than residual dynamics and allow for heterogeneity in both the long-run cointegrating relationship and the short-run dynamics. The package includes logic for automated lag and lead selection via AIC/BIC, Bartlett kernel long-run variance estimation, and a bootstrap procedure to handle cross-sectional dependence. It also includes a bootstrapping distribution visualization function for diagnostic purposes.

  • Maintainer: Bosco Hung
  • License: MIT + file LICENSE
  • Last published: 2026-02-07 14:00:02 UTC

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