R: Johansen Cointegration Test with Fourier-Type Smooth Nonlinear Trends

# Johansen Cointegration Test with Fourier-Type Smooth Nonlinear Trends

## Documentation for package ‘fjohansen’ version 0.1.0

- DESCRIPTION file
- Package NEWS
- Package README

## Help Pages

fjohansen-package | fjohansen: Johansen Cointegration Test with Fourier-Type Smooth Nonlinear Trends
build_design_matrices | Build Z0, Z1, Z2 design matrices for the reduced-rank regression
clear_jf_cache | Clear the in-memory simulation cache.
CNR_TABLE_B1 | Approximate limit quantiles for the CNR model (Table B1 of Kurita & Shintani 2025).
fjohansen | fjohansen: Johansen Cointegration Test with Fourier-Type Smooth Nonlinear Trends
format_trace_html | Publication-quality table formatters for the trace test
format_trace_latex | Publication-quality table formatters for the trace test
format_trace_table | Publication-quality table formatters for the trace test
fourier_basis | Build the Fourier deterministic basis
generate_f_dgp1 | Data-generating processes from Section 5 of Kurita & Shintani (2025)
generate_f_dgp2 | Data-generating processes from Section 5 of Kurita & Shintani (2025)
generate_nf_dgp1 | Data-generating processes from Section 5 of Kurita & Shintani (2025)
generate_nf_dgp2 | Data-generating processes from Section 5 of Kurita & Shintani (2025)
generate_nf_dgp3 | Data-generating processes from Section 5 of Kurita & Shintani (2025)
generate_nf_dgp4 | Data-generating processes from Section 5 of Kurita & Shintani (2025)
jf_dgps | Data-generating processes from Section 5 of Kurita & Shintani (2025)
jf_moments | Mean and variance of the limit distribution
jf_p_value | Gamma-approximation p-value of an observed trace statistic
jf_quantile | Quantile of the limit distribution
jf_tables | Publication-quality table formatters for the trace test
johansen_fourier | Johansen-Fourier cointegration test
model_specs | Model specifications used by 'johansen_fourier'
plot_eigenvalues | Bar plot of the Johansen eigenvalues
plot_limit_density | Plot the limit-distribution density (paper's Figs. 1-2)
plot_long_run | Plot estimated cointegrating relations
plot_residual_diagnostics | Residual diagnostics (paper's Fig. 12)
plot_risk_premium | Implied risk-premium decomposition (paper's Fig. 13)
plot_series | Plot a (T x p) data set as multi-panel time series (Fig. 11 of the paper)
psy_wald_test | Perron-Shintani-Yabu (2021) FGLS Wald test
sample_jgb_data | Synthetic JGB-yield surrogate (Section 6 illustration)
select_frequencies | Frequency selection for a multivariate panel
select_frequencies_univariate | General-to-specific frequency selection for a univariate series
set_paper_theme | Apply the paper-style ggplot2 theme (sunny palette)
simulate_limit_distribution | Simulate the limiting Johansen-Fourier trace distribution
simulate_limit_moments | Simulate moments of the limiting distribution