Unit Root CADF Testing with R
AbstractThis paper describes CADFtest, an R 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 p values of the test.
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Statistical Software.
Volume (Year): 32 ()
Issue (Month): i02 ()
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