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).
| Version: | 0.3-3 |
| Depends: | dynlm, sandwich, tseries, urca |
| Published: | 2017-06-02 |
| Author: | Claudio Lupi |
| Maintainer: | Claudio Lupi <lupi at unimol.it> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | http://www.jstatsoft.org/v32/i02 |
| NeedsCompilation: | no |
| Citation: | CADFtest citation info |
| Materials: | NEWS |
| In views: | Econometrics, Finance, TimeSeries |
| CRAN checks: | CADFtest results |
| Reference manual: | CADFtest.pdf |
| Vignettes: |
CADFtest |
| Package source: | CADFtest_0.3-3.tar.gz |
| Windows binaries: | r-devel: CADFtest_0.3-3.zip, r-release: CADFtest_0.3-3.zip, r-oldrel: CADFtest_0.3-3.zip |
| macOS binaries: | r-release (arm64): CADFtest_0.3-3.tgz, r-oldrel (arm64): CADFtest_0.3-3.tgz, r-release (x86_64): CADFtest_0.3-3.tgz, r-oldrel (x86_64): CADFtest_0.3-3.tgz |
| Old sources: | CADFtest archive |
Please use the canonical form https://CRAN.R-project.org/package=CADFtest to link to this page.