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 (1995b). The procedures presented here are user friendly, allow fully automatic model specification, and allow computation of the asymptotic p values of the test.
Unit Root CADF Testing with R
LUPI, Claudio
2009-01-01
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 (1995b). The procedures presented here are user friendly, allow fully automatic model specification, and allow computation of the asymptotic p values of the test.File in questo prodotto:
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