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CADFtest  

A Package to Perform Covariate Augmented Dickey-Fuller Unit Root Tests
View on CRAN: Click here


Download and install CADFtest package within the R console
Install from CRAN:
install.packages("CADFtest")

Install from Github:
library("remotes")
install_github("cran/CADFtest")

Install by package version:
library("remotes")
install_version("CADFtest", "0.3-3")



Attach the package and use:
library("CADFtest")
Maintained by
Claudio Lupi
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2008-12-29
Latest Update: 2017-06-02
Description:
Hansen's (1995) Covariate-Augmented Dickey-Fuller (CADF) test. The only required argument is y, the Tx1 time series to be tested. If no stationary covariate X is passed to the procedure, then an ordinary ADF test is performed. The p-values of the test are computed using the procedure illustrated in Lupi (2009).
How to cite:
Claudio Lupi (2008). CADFtest: A Package to Perform Covariate Augmented Dickey-Fuller Unit Root Tests. R package version 0.3-3, https://cran.r-project.org/web/packages/CADFtest. Accessed 22 Dec. 2024.
Previous versions and publish date:
0.1-0 (2008-12-29 10:52), 0.3-0 (2009-10-06 15:10), 0.3-1 (2011-05-09 15:48), 0.3-2 (2014-01-08 13:19)
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