Published by the Foundation for Open Access Statistics Editors-in-chief: Bettina Grün, Torsten Hothorn, Rebecca Killick, Edzer Pebesma, Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
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:: 12399. Submitted: 2008-12-29. Published: 2009-10-14.
Paper: Unit Root CADF Testing with R     Download PDF (Downloads: 14730)
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CADFtest_0.3-0.tar.gz: R source package Download (Downloads: 1214; 346KB)
v32i02.R: R example code from the paper Download (Downloads: 1272; 5KB)
DOI: 10.18637/jss.v032.i02

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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.