CADFtest: This package performs the CADF unit root test proposed in Hansen (1995).

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).

AuthorClaudio Lupi
Date of publication2014-01-08 13:19:38
MaintainerClaudio Lupi <lupi@unimol.it>
LicenseGPL (>= 2)
Version0.3-2
http://www.jstatsoft.org/v32/i02

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Files

CADFtest
CADFtest/inst
CADFtest/inst/CITATION
CADFtest/inst/doc
CADFtest/inst/doc/CADFtest.Rnw
CADFtest/inst/doc/CADFtest.R
CADFtest/inst/doc/CADFtest.pdf
CADFtest/inst/doc/CADFtest.bib
CADFtest/NAMESPACE
CADFtest/NEWS
CADFtest/data
CADFtest/data/coeffs_ct.rda
CADFtest/data/coeffs_c.rda
CADFtest/data/coeffs_nc.rda
CADFtest/R
CADFtest/R/bread.mlm.R CADFtest/R/CADFtest.R CADFtest/R/summary.CADFtest.R CADFtest/R/print.CADFtestsummary.R CADFtest/R/update.CADFtest.R CADFtest/R/estfun.mlm.R CADFtest/R/CADFtest.default.R CADFtest/R/plot.CADFtest.R CADFtest/R/CADFtest.formula.R CADFtest/R/CADFpvalues.R CADFtest/R/residuals.CADFtest.R
CADFtest/vignettes
CADFtest/vignettes/CADFtest.Rnw
CADFtest/vignettes/CADFtest.bib
CADFtest/MD5
CADFtest/build
CADFtest/build/vignette.rds
CADFtest/DESCRIPTION
CADFtest/man
CADFtest/man/coeffs_ct.Rd CADFtest/man/CADFpvalues.Rd CADFtest/man/residuals.CADFtest.Rd CADFtest/man/summary.CADFtest.Rd CADFtest/man/CADFtest.Rd CADFtest/man/CADFtest-internal.Rd CADFtest/man/plot.CADFtest.Rd CADFtest/man/update.CADFtest.Rd

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