Covariate Augmented Dickey-Fuller Tests with R

Claudio Lupi

Economics & Statistics Discussion Papers from University of Molise, Department of Economics

Abstract: This paper describes CADFtest, a R (R Development Core Team 2008) 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.

Keywords: unit root; stationary covariates; asymptotic p-values; R. (search for similar items in EconPapers)
JEL-codes: C12 C22 C87 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2009-03-31
Note: The published version is a substantial update of the working paper version.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Journal of Statistical Software, 2009, vol. 32, no. 2, pp. 1-19.

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Persistent link: https://EconPapers.repec.org/RePEc:mol:ecsdps:esdp09051

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