CADFpvalues

the value of the long-run correlation. When <code>rho2 = 1</code> is set, the p-values 
	 of the ordinary Dickey-Fuller are computed.

rho2

defines the deterministic kernel used in the test. It accepts the values used in 
 package <code>urca</code>. It specifies if the underlying model must be with 
 linear trend (<code>"trend"</code>, the default), with constant (<code>"drift"</code>) or without constant 
			 (<code>"none"</code>).

type

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.

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).

CADFpvalues: p-values of the CADF test for unit roots

Description

Usage

Arguments

Value

References

Examples