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 |