Covariate Augmented Dickey-Fuller Tests with R

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.

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Year of publication:	2009-03-31
Authors:	Lupi, Claudio
Institutions:	Dipartimento di Economia, Gestione, Società e Istituzioni, Università degli Studi del Molise
Subject:	unit root \| stationary covariates \| asymptotic p-values

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Extent:	application/pdf
Series:	Economics & Statistics Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The published version is a substantial update of the working paper version. Published in Journal of Statistical Software, 2009, vol. 32, no. 2, pp. 1-19. 16 pages
Classification:	C87 - Econometric Software ; C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005178344