# xtbreakcoint 1.0.1

Initial CRAN release.

## Features

* Panel cointegration test with structural breaks following Banerjee & 
  Carrion-i-Silvestre (2015, JAE)
* Cross-section dependence handled via common factor estimation
* Five model specifications for deterministic components
* Automatic factor number selection using Bai & Ng (2002) IC criterion
* Structural break date estimation via SSR minimization
* Individual ADF tests on defactored residuals
* Standardized panel test statistic with Monte Carlo moments
* Bai & Ng (2004) MQ test for identifying common stochastic trends
* Automatic or fixed lag selection for ADF regressions

## References

* Banerjee, A., & Carrion-i-Silvestre, J. L. (2015). Cointegration in panel
  data with structural breaks and cross-section dependence. *Journal of
  Applied Econometrics*, 30(1), 1-22. doi:10.1002/jae.2431

* Bai, J., & Ng, S. (2004). A PANIC attack on unit roots and cointegration.
  *Econometrica*, 72(4), 1127-1177. doi:10.1111/j.1468-0262.2004.00496.x
