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CADFtest
(2009)
  • Claudio Lupi, University of Molise
Abstract

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).

Keywords
  • R package
Publication Date
2009
Citation Information
Claudio Lupi (2009). Unit Root CADF Testing with R. Journal of Statistical Software, 32 (2), 1-19.