CADFtest (version 0.3-3)

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

Description

Hansen's (1995) Covariate-Augmented Dickey-Fuller (CADF) test. The only required argument is y, the Tx1 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 the procedure illustrated in Lupi (2009).

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Install

install.packages('CADFtest')

Monthly Downloads

1,024

Version

0.3-3

License

GPL (>= 2)

Maintainer

Last Published

June 2nd, 2017

Functions in CADFtest (0.3-3)