Westerlund: Panel Cointegration Tests Based on Westerlund (2007)

Implements a functional approximation of the four panel cointegration tests developed by Westerlund (2007) . The tests are based on structural rather than residual dynamics and allow for heterogeneity in both the long-run cointegrating relationship and the short-run dynamics. The package includes logic for automated lag and lead selection via AIC, Bartlett kernel long-run variance estimation, and a bootstrap procedure to handle cross-sectional dependence. It also includes a bootstrapping distribution visualization function for diagnostic purposes.