This package performs Hansen's (1995) Covariate-Augmented Dickey-Fuller (CADF) test. The only required argument is y, the univariate 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 a procedure proposed in Costantini, Lupi and Popp (2007), illustrated in Lupi (2009).
| Version: | 0.3-0 |
| Depends: | dynlm, sandwich, tseries, urca |
| Suggests: | fUnitRoots |
| Published: | 2009-10-06 |
| Author: | Claudio Lupi |
| Maintainer: | Claudio Lupi <lupi at unimol.it> |
| License: | GPL (≥ 2) |
| URL: | http://econpapers.repec.org/paper/molecsdps/esdp09051.htm |
| Citation: | CADFtest citation info |
| In views: | Econometrics, Finance, TimeSeries |
| CRAN checks: | CADFtest results |
| Package source: | CADFtest_0.3-0.tar.gz |
| MacOS X binary: | CADFtest_0.3-0.tgz |
| Windows binary: | CADFtest_0.3-0.zip |
| Reference manual: | CADFtest.pdf |
| Vignettes: |
Unit Root CADF Testing with R |
| News/ChangeLog: | NEWS |
| Old sources: | CADFtest archive |