Unit Root CADF Testing with R
This paper describes <b>CADFtest</b>, an <b>R</b> package for testing for the presence of a unit root in a time series using the covariate-augmented Dickey-Fuller (CADF) test proposed in Hansen (1995). The procedures presented here are user friendly, allow fully automatic m...
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| Format: | Article |
| Language: | English |
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Foundation for Open Access Statistics
2009-10-01
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| Series: | Journal of Statistical Software |
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| Online Access: | http://www.jstatsoft.org/v32/i02/paper |
| _version_ | 1818840412667772928 |
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| author | Claudio Lupi |
| author_facet | Claudio Lupi |
| author_sort | Claudio Lupi |
| collection | DOAJ |
| description | This paper describes <b>CADFtest</b>, an <b>R</b> package for testing for the presence of a unit root in a time series using the covariate-augmented Dickey-Fuller (CADF) test proposed in Hansen (1995). The procedures presented here are user friendly, allow fully automatic model specification, and allow computation of the asymptotic <i>p</i> values of the test. |
| first_indexed | 2024-12-19T04:09:47Z |
| format | Article |
| id | doaj.art-beac2d8014694bc3b137b3732feeeb05 |
| institution | Directory Open Access Journal |
| issn | 1548-7660 |
| language | English |
| last_indexed | 2024-12-19T04:09:47Z |
| publishDate | 2009-10-01 |
| publisher | Foundation for Open Access Statistics |
| record_format | Article |
| series | Journal of Statistical Software |
| spelling | doaj.art-beac2d8014694bc3b137b3732feeeb052022-12-21T20:36:26ZengFoundation for Open Access StatisticsJournal of Statistical Software1548-76602009-10-013202Unit Root CADF Testing with RClaudio LupiThis paper describes <b>CADFtest</b>, an <b>R</b> package for testing for the presence of a unit root in a time series using the covariate-augmented Dickey-Fuller (CADF) test proposed in Hansen (1995). The procedures presented here are user friendly, allow fully automatic model specification, and allow computation of the asymptotic <i>p</i> values of the test.http://www.jstatsoft.org/v32/i02/paperunit rootstationary covariatesasymptotic p valuesR |
| spellingShingle | Claudio Lupi Unit Root CADF Testing with R Journal of Statistical Software unit root stationary covariates asymptotic p values R |
| title | Unit Root CADF Testing with R |
| title_full | Unit Root CADF Testing with R |
| title_fullStr | Unit Root CADF Testing with R |
| title_full_unstemmed | Unit Root CADF Testing with R |
| title_short | Unit Root CADF Testing with R |
| title_sort | unit root cadf testing with r |
| topic | unit root stationary covariates asymptotic p values R |
| url | http://www.jstatsoft.org/v32/i02/paper |
| work_keys_str_mv | AT claudiolupi unitrootcadftestingwithr |