CADFtest

Authors Claudio Lupi

Last update 2 June 2017

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 0.1-0, 0.3-0, 0.3-1, 0.3-2, PACKAGES.rds, 0.3-3

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).

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