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Please use this identifier to cite or link to this item: http://hdl.handle.net/2192/69

 
Title: Covariate Augmented Dickey-Fuller Tests with R
Authors: Lupi, Claudio
Keywords: unit root
stationary covariates
asymptotic p-values
R.
Issue Date: 31-Mar-2009
Abstract: This paper describes CADFtest, a R (R Development Core Team 2008) 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.
Informations: Published in Journal of Statistical Software, 2009, vol. 32, no. 2, pp. 1-19.
URI: http://hdl.handle.net/2192/69
Appears in Collections:4 - REPEC
Econpapers

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