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.
- unit root,
- stationary covariates,
- asymptotic p-values,
Available at: http://works.bepress.com/claudio_lupi/3/