qadf
Quantile Autoregressive Distributed Lag Unit Root Test
Implements the Quantile Autoregressive Distributed Lag (QADF) unit root test proposed by Koenker and Xiao (2004) <doi:10.1198/016214504000001114>. The test examines unit root behaviour across the conditional distribution of a time series using quantile regression, providing a richer characterisation of persistence than standard ADF tests. Critical values follow Hansen (1995) <doi:10.1017/S0266466600009713>. Lag order selection is supported via AIC, BIC, or the t-statistic sequential testing approach.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.0.0 |
rolling linux/jammy R-4.5 | qadf_1.0.0.tar.gz |
31.2 KiB |
1.0.0 |
rolling linux/noble R-4.5 | qadf_1.0.0.tar.gz |
31.1 KiB |
1.0.0 |
rolling source/ R- | qadf_1.0.0.tar.gz |
8.8 KiB |
1.0.0 |
latest linux/jammy R-4.5 | qadf_1.0.0.tar.gz |
31.2 KiB |
1.0.0 |
latest linux/noble R-4.5 | qadf_1.0.0.tar.gz |
31.1 KiB |
1.0.0 |
latest source/ R- | qadf_1.0.0.tar.gz |
8.8 KiB |
1.0.0 |
2026-04-26 source/ R- | qadf_1.0.0.tar.gz |
8.8 KiB |
1.0.0 |
2026-04-23 source/ R- | qadf_1.0.0.tar.gz |
8.8 KiB |
1.0.0 |
2026-04-09 windows/windows R-4.5 | qadf_1.0.0.zip |
33.6 KiB |