Type: Package
Title: Panel Unit Root Test Based on Recursive Detrending
Version: 1.0.0
Description: Implements the recursively detrended panel unit root tests proposed by Westerlund (2015) <doi:10.1016/j.jeconom.2014.09.013>. Two variants are provided: the basic t-REC test assuming iid errors, and the robust t-RREC test that accounts for serial correlation, cross-sectional dependence, and heteroskedasticity via defactoring and BIC-selected lag augmentation. Both tests have a standard normal null distribution requiring no mean or variance correction. The panel must be strongly balanced.
License: GPL-3
Encoding: UTF-8
RoxygenNote: 7.3.2
Depends: R (≥ 3.5.0)
Imports: stats
Suggests: testthat (≥ 3.0.0)
Config/testthat/edition: 3
URL: https://github.com/muhammedalkhalaf/xtrec
BugReports: https://github.com/muhammedalkhalaf/xtrec/issues
NeedsCompilation: no
Packaged: 2026-03-24 14:52:43 UTC; acad_
Author: Muhammad Alkhalaf ORCID iD [aut, cre, cph]
Maintainer: Muhammad Alkhalaf <muhammedalkhalaf@gmail.com>
Repository: CRAN
Date/Publication: 2026-03-29 15:20:02 UTC

Grunfeld Investment Data

Description

A balanced panel dataset for 5 large US corporations over 20 years (1935-1954).

Usage

grunfeld_data()

Value

A data frame with columns: firm, year, invest, mvalue.

References

Grunfeld, Y. (1958). The Determinants of Corporate Investment. PhD thesis, University of Chicago.

Examples

dat <- grunfeld_data()
head(dat)

Print Method for xtrec Objects

Description

Prints a formatted summary of an "xtrec" test result.

Usage

## S3 method for class 'xtrec'
print(x, ...)

Arguments

x

An object of class "xtrec".

...

Additional arguments (ignored).

Value

Invisibly returns x.

Summary Method for xtrec Objects

Description

Prints a summary of an "xtrec" test result.

Usage

## S3 method for class 'xtrec'
summary(object, ...)

Arguments

object

An object of class "xtrec".

...

Additional arguments (ignored).

Value

Invisibly returns object.

Panel Unit Root Test Based on Recursive Detrending

Description

Implements the t-REC and t-RREC panel unit root tests of Westerlund (2015). The t-REC assumes iid errors; the robust t-RREC accounts for serial correlation, cross-sectional dependence, and heteroskedasticity.

Usage

xtrec(data, var, panel_id, time_id, trend = 0L,
      robust = FALSE, maxlag = -1L)

Arguments

data

A data frame in long format.

var

Character. Name of the variable to test.

panel_id

Character. Name of the panel identifier variable.

time_id

Character. Name of the time variable.

trend

Integer. Polynomial trend degree: 0 (constant only), 1 (linear trend), or 2 (quadratic trend).

robust

Logical. If TRUE, compute the robust t-RREC test.

maxlag

Integer. Maximum lag for BIC selection (-1 for automatic).

Value

An object of class "xtrec" containing the test statistic, p-value, and panel summary statistics.

References

Westerlund, J. (2015). The effect of recursive detrending on panel unit root tests. Journal of Econometrics, 185(2), 453-467. doi:10.1016/j.jeconom.2014.09.013

Examples

dat <- grunfeld_data()
res <- xtrec(dat, var = "invest", panel_id = "firm",
             time_id = "year", trend = 0L, robust = FALSE)
print(res)