Unit Root CADF Testing with R

Claudio Lupi

Journal of Statistical Software, 2009, vol. 032, issue i02

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.

Date: 2009-10-14
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Persistent link: https://EconPapers.repec.org/RePEc:jss:jstsof:v:032:i02

DOI: 10.18637/jss.v032.i02

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