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Article
Unit root CADF testing with R
Journal of Statistical Software (2009)
  • Claudio Lupi, University of Molise
Abstract

This paper describes CADFtest, an R package for testing for the presence of a unit root in a time series using the covariate-augmented Dickey-Fuller (CADF) test proposed in Hansen (1995). The procedures presented here are user friendly, allow fully automatic model specification, and allow computation of the asymptotic p values of the test.

Keywords
  • unit root,
  • stationary covariates,
  • asymptotic p-values,
  • R
Publication Date
2009
Citation Information
Claudio Lupi. "Unit root CADF testing with R" Journal of Statistical Software Vol. 32 Iss. 2 (2009)
Available at: http://works.bepress.com/claudio_lupi/3/