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qadf  

Quantile Autoregressive Distributed Lag Unit Root Test
View on CRAN: Click here


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

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

Install by package version:
library("remotes")
install_version("qadf", "1.0.0")



Attach the package and use:
library("qadf")
Maintained by
Muhammad Alkhalaf
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-03-20
Latest Update: 2026-03-20
Description:
Implements the Quantile Autoregressive Distributed Lag (QADF) unit root test proposed by Koenker and Xiao (2004) <doi:10.1198/016214504000001114>. The test examines unit root behaviour across the conditional distribution of a time series using quantile regression, providing a richer characterisation of persistence than standard ADF tests. Critical values follow Hansen (1995) <doi:10.1017/S0266466600009713>. Lag order selection is supported via AIC, BIC, or the t-statistic sequential testing approach.
How to cite:
Muhammad Alkhalaf (2026). qadf: Quantile Autoregressive Distributed Lag Unit Root Test. R package version 1.0.0, https://cran.r-project.org/web/packages/qadf. Accessed 07 Jun. 2026.
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