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

Package details

AuthorClaudio Lupi
MaintainerClaudio Lupi <>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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CADFtest documentation built on May 2, 2019, 1:27 p.m.