qadf

MaRDI QIDQ7369130CRANFDO

Authors Muhammad Alkhalaf

Last update 30 September 2026

Copyright license GNU General Public License, version 3.0

Software version identifier PACKAGES.rds, 1.0.0, 1.0.2

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/S0266466600009993>. Lag order selection is supported via AIC, BIC, or the t-statistic sequential testing approach.

Cites work

• Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power
• Unit Root Quantile Autoregression Inference

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