CADFtest
A Package to Perform Covariate Augmented Dickey-Fuller Unit Root Tests
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).
- Version0.3-3
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?No
- CADFtest citation info
- Last release06/02/2017
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Team
Claudio Lupi
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- Depends4 packages