coeffs_ct: Tables of coefficients to compute p-values
In CADFtest: A Package to Perform Covariate Augmented Dickey-Fuller Unit Root Tests

Description Usage Format Author(s) Source References

These tables contain the response surface coefficients needed to compute the p-value of Hansen's CADF test (see Costantini et al., 2007; Lupi, 2009). coeffs_ct, coeffs_c, coeffs_nc are the relevant tables for the constant plus trend, constant, and no constant case, respectively.

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data("coeffs_ct")
data("coeffs_c")
data("coeffs_nc")

The tables are saved as binary data .rda objects. They are (1005 \times 5) matrices, where the first column represents probabilities and the following four columns are β_0, …, β_3 in eqn. (13) in Costantini et al. (2007) (see also Lupi, 2009).

Claudio Lupi

Costantini et al. (2007).

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.

Lupi C (2009). Unit Root CADF Testing with R, Journal of Statistical Software, 32(2), 1–19. http://www.jstatsoft.org/v32/i02/

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