CADFtest (0.3-1)

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

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 almost 9 years ago.