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Authors: Claudio Lupi
Title: [download]
(6447)
Unit Root CADF Testing with R
Reference: Vol. 32, Issue 2, Oct 2009
Submitted 2008-12-29, Accepted 2009-08-10
Type: Article
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.

Paper: [download]
(6447)
Unit Root CADF Testing with R
(application/pdf, 439.3 KB)
Supplements: [download]
(792)
CADFtest_0.3-0.tar.gz: R source package
(application/x-gzip, 346.3 KB)
[download]
(854)
v32i02.R: R example code from the paper
(application/octet-stream, 5.8 KB)
Resources: BibTeX | OAI
Creative Commons License
This work is licensed under the licenses
Paper: Creative Commons Attribution 3.0 Unported License
Code: GNU General Public License (at least one of version 2 or version 3)
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