CADFtest (0.3-2)

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This package performs the CADF unit root test proposed in Hansen (1995)..

http://www.jstatsoft.org/v32/i02
http://cran.r-project.org/web/packages/CADFtest

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 p-values of the test are computed using a procedure proposed in Costantini, Lupi and Popp (2007), illustrated in Lupi (2009).

Maintainer: Claudio Lupi
Author(s): Claudio Lupi

License: GPL (>= 2)

Uses: dynlm, sandwich, tseries, urca, fUnitRoots

Released over 3 years ago.


3 previous versions

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