CADFpvalues: p-values of the CADF test for unit roots

In CADFtest: A Package to Perform Covariate Augmented Dickey-Fuller Unit Root Tests

Description

The asymptotic p-values of the Hansen's (1995) Covariate-Augmented Dickey Fuller (CADF) test for a unit root are computed using the approach outlined in Costantini et al. (2007). The function can be used also to compute the p-values of the ordinary Dickey-Fuller distribution.

Usage

CADFpvalues(t0, rho2 = 0.5, type=c("trend", "drift", "none")) 

Arguments

t0	the value of the test statistic.
rho2	the value of the long-run correlation. When rho2 = 1 is set, the p-values of the ordinary Dickey-Fuller are computed.
type	defines the deterministic kernel used in the test. It accepts the values used in package urca. It specifies if the underlying model must be with linear trend ("trend", the default), with constant ("drift") or without constant ("none").

Value

p.value, a scalar containing the estimated asymptotic p-value of the test.

Author(s)

Claudio Lupi

References

Hansen BE (1995). Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power, Econometric Theory, 11(5), 1148–1171.

Costantini M, Lupi C, Popp S (2007). A Panel-CADF Test for Unit Roots, University of Molise, Economics & Statistics Discussion Paper 39/07. http://econpapers.repec.org/paper/molecsdps/esdp07039.htm

Examples

  CADFpvalues(t0=-1.7, rho2=0.20, type="trend")

Example output

Loading required package: dynlm
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Loading required package: sandwich
Loading required package: tseries
Loading required package: urca
[1] 0.2189253

CADFtest documentation built on May 2, 2019, 1:27 p.m.