fjohansen: Johansen Cointegration Test with Fourier-Type Smooth Nonlinear
Trends
Implements the Johansen cointegration test with Fourier-type
smooth nonlinear deterministic trends restricted to cointegrating
relations, as developed by Kurita and Shintani (2025)
<doi:10.1080/07474938.2025.2530640>. Six model variants are
supported: CNR (constant plus nonlinear, restricted in the
cointegrating space), LNR (linear plus nonlinear, restricted),
CNU (constant restricted, nonlinear unrestricted), LNU (linear
restricted, nonlinear unrestricted), plus the standard constant-
and linear-trend restricted Johansen models. The package also
bundles the feasible generalised least squares (FGLS) Wald test of
Perron, Shintani and Yabu (2017) <doi:10.1111/obes.12169> used as
a frequency-selection pre-step, together with bundled critical-value
tables, a vectorised simulator for the limiting distribution,
publication-quality table exports (LaTeX and HTML) and 'ggplot2'
figures matching those of the paper.
| Version: |
0.1.0 |
| Depends: |
R (≥ 4.0.0) |
| Imports: |
stats, utils, grDevices, graphics, ggplot2 (≥ 3.4.0), scales |
| Suggests: |
testthat (≥ 3.0.0), kableExtra, knitr, rmarkdown, patchwork |
| Published: |
2026-06-02 |
| DOI: |
10.32614/CRAN.package.fjohansen (may not be active yet) |
| Author: |
Merwan Roudane [aut, cre] |
| Maintainer: |
Merwan Roudane <merwanroudane920 at gmail.com> |
| BugReports: |
https://github.com/merwanroudane/fjohansen/issues |
| License: |
MIT + file LICENSE |
| URL: |
https://github.com/merwanroudane/fjohansen |
| NeedsCompilation: |
no |
| Materials: |
README, NEWS |
| CRAN checks: |
fjohansen results |
Documentation:
Downloads:
Linking:
Please use the canonical form
https://CRAN.R-project.org/package=fjohansen
to link to this page.