Unit Root CADF Testing with R

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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Bibliographic Details
Main Author: Claudio Lupi
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2009-10-01
Series:Journal of Statistical Software
Subjects:
unit root
stationary covariates
asymptotic p values
R
Online Access:http://www.jstatsoft.org/v32/i02/paper
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spelling doaj-beac2d8014694bc3b137b3732feeeb052020-11-24T23:55:51ZengFoundation 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
collection DOAJ
language English
format Article
sources DOAJ
author Claudio Lupi
spellingShingle Claudio Lupi
Unit Root CADF Testing with R
Journal of Statistical Software
unit root
stationary covariates
asymptotic p values
R
author_facet Claudio Lupi
author_sort Claudio Lupi
title Unit Root CADF Testing with R
title_short 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_sort unit root cadf testing with r
publisher Foundation for Open Access Statistics
series Journal of Statistical Software
issn 1548-7660
publishDate 2009-10-01
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.
topic unit root
stationary covariates
asymptotic p values
R
url http://www.jstatsoft.org/v32/i02/paper
work_keys_str_mv AT claudiolupi unitrootcadftestingwithr
_version_ 1725460957489004544

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