Description Usage Arguments Value Author(s) References Examples

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.

1 | ```
CADFpvalues(t0, rho2 = 0.5, type=c("trend", "drift", "none"))
``` |

`t0` |
the value of the test statistic. |

`rho2` |
the value of the long-run correlation. When |

`type` |
defines the deterministic kernel used in the test. It accepts the values used in
package |

`p.value`

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

Claudio Lupi

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

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

```
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
```

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