# 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

 `1` ```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.

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

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

### Example output

```Loading required package: dynlm

Attaching package: 'zoo'

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

as.Date, as.Date.numeric