This package performs 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 a procedure proposed in Costantini, Lupi and Popp (2007), illustrated in Lupi (2009).
|Date of publication||2014-01-08 13:19:38|
|Maintainer||Claudio Lupi <email@example.com>|
|License||GPL (>= 2)|
CADFpvalues: p-values of the CADF test for unit roots
CADFtest: Hansen's Covariate-Augmented Dickey Fuller (CADF) test for...
CADFtest-internal: Internal CADF test functions
coeffs_ct: Tables of coefficients to compute p-values
plot.CADFtest: Function to plot CADFtest objects
residuals.CADFtest: Function to extract the residuals from CADFtest objects
summary.CADFtest: Function to print a summary of CADFtest objects
update.CADFtest: Function to update the formula of CADFtest objects