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CADFtest: A Package to Perform Covariate Augmented Dickey-Fuller Unit Root Tests
Hansen's (1995) Covariate-Augmented Dickey-Fuller (CADF) test. The only required argument is y, the Tx1 time series to be tested. If no stationary covariate X is passed to the procedure, then an ordinary ADF test is performed. The p-values of the test are computed using the procedure illustrated in Lupi (2009).
Getting started
Browse package contents
Package details |
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| Author | Claudio Lupi |
| Maintainer | Claudio Lupi <lupi@unimol.it> |
| License | GPL (>= 2) |
| Version | 0.3-3 |
| URL | http://www.jstatsoft.org/v32/i02 |
| Package repository | View on CRAN |
| Installation |
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