xtdhcoint: Durbin-Hausman Panel Cointegration Tests
Implements the Durbin-Hausman panel cointegration tests of Westerlund (2008) <doi:10.1002/jae.963>. The tests are robust to cross-sectional dependence through common factor extraction using principal components. Provides both group-mean (DHg) and panel (DHp) test statistics with automatic factor number selection via information criteria.
| Version: | 1.0.1 |
| Depends: | R (≥ 3.5.0) |
| Imports: | stats |
| Suggests: | testthat (≥ 3.0.0), knitr, rmarkdown |
| Published: | 2026-03-12 |
| DOI: | 10.32614/CRAN.package.xtdhcoint (may not be active yet) |
| Author: | Muhammad Alkhalaf 
[aut, cre, cph],
Merwan Roudane [ctb] (Original Stata implementation),
Joakim Westerlund [ctb] (Original GAUSS code author) |
| Maintainer: | Muhammad Alkhalaf <muhammedalkhalaf at gmail.com> |
| BugReports: | https://github.com/muhammedalkhalaf/xtdhcoint/issues |
| License: | GPL-3 |
| URL: | https://github.com/muhammedalkhalaf/xtdhcoint |
| NeedsCompilation: | no |
| Materials: | README, NEWS |
| CRAN checks: | xtdhcoint results |
Documentation:
| Reference manual: | xtdhcoint.html , xtdhcoint.pdf |
Downloads:
| Package source: | xtdhcoint_1.0.1.tar.gz |
| Windows binaries: | r-devel: not available, r-release: not available, r-oldrel: xtdhcoint_1.0.1.zip |
| macOS binaries: | r-release (arm64): xtdhcoint_1.0.1.tgz, r-oldrel (arm64): xtdhcoint_1.0.1.tgz, r-release (x86_64): xtdhcoint_1.0.1.tgz, r-oldrel (x86_64): xtdhcoint_1.0.1.tgz |
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