| Authors: | Claudio Lupi |
| Title: | [download] (1115)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] (1115)Unit Root CADF Testing with R (application/pdf, 439.3 KB) |
| Supplements: | [download] (210)CADFtest_0.3-0.tar.gz: R source package (application/x-gzip, 346.3 KB) |
| [download] (236)v32i02.R: R example code from the paper (application/octet-stream, 5.8 KB) |
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| Resources: | BibTeX | OAI |
