|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:: 11649. Submitted: 2008-12-29. Published: 2009-10-14.
Unit Root CADF Testing with R
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