Authors: | Claudio Lupi | ||||
Title: | Unit Root CADF Testing with R | ||||
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. | ||||
Page views:: 12308. Submitted: 2008-12-29. Published: 2009-10-14. |
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Paper: |
Unit Root CADF Testing with R
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DOI: |
10.18637/jss.v032.i02
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![]() 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) or a GPL-compatible license. |