This package performs 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 asymptotic p-values of the test are also computed. Full documentation can be found in Lupi (2009).
- R package