CADFtest
A Package to Perform Covariate Augmented Dickey-Fuller Unit Root Tests
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).
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.3-3 |
2026-04-09 windows/windows R-4.5 | CADFtest_0.3-3.zip |
555.1 KiB |