cointsmall 1.0.0

• Initial CRAN release.

Features

• cointsmall(): Main function for cointegration tests with structural breaks in small samples
• cointsmall_combined(): Combined testing procedure evaluating all model specifications
• cointsmall_cv(): Function to retrieve critical values for different model configurations

Model Specifications

• Model “o”: No structural break (standard Engle-Granger test)
• Model “c”: Break in constant only (Gregory-Hansen style level shift)
• Model “cs”: Break in constant and slope (regime change model)

Supported Options

• 0, 1, or 2 structural breaks
• Break date selection via minimum ADF statistic or minimum SSR
• Adjustable trimming parameter for break date search
• Automatic lag selection for ADF test using BIC
• Small-sample adjusted critical values via response surface methodology

References

• Based on Trinh (2022) “Testing for cointegration with structural changes in very small sample”

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