CADFtest (Q7388450)
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A Package to Perform Covariate Augmented Dickey-Fuller Unit Root Tests
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | CADFtest |
A Package to Perform Covariate Augmented Dickey-Fuller Unit Root Tests |
Statements
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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2 June 2017
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expanded from: GPL (≥ 2) (English)
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