Learn R Programming

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).

Copy Link

Version

Install

install.packages('CADFtest')

Monthly Downloads

658

Version

0.3-3

License

GPL (>= 2)

Maintainer

Claudio Lupi

Last Published

June 2nd, 2017

Functions in CADFtest (0.3-3)

plot.CADFtest

Function to plot CADFtest objects
residuals.CADFtest

Function to extract the residuals from CADFtest objects
CADFtest

Hansen's Covariate-Augmented Dickey Fuller (CADF) test for unit roots
coeffs_ct

Tables of coefficients to compute p-values
CADFpvalues

p-values of the CADF test for unit roots
CADFtest-internal

Internal CADF test functions
summary.CADFtest

Function to print a summary of CADFtest objects
update.CADFtest

Function to update the formula of CADFtest objects