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).
|Date of publication||2017-06-02 17:10:31 UTC|
|Maintainer||Claudio Lupi <firstname.lastname@example.org>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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