qadf (Q7369130)
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Quantile Autoregressive Distributed Lag Unit Root Test
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | qadf |
Quantile Autoregressive Distributed Lag Unit Root Test |
Statements
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/S0266466600009993>. Lag order selection is supported via AIC, BIC, or the t-statistic sequential testing approach.
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30 September 2026
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