Covariate Augmented Dickey-Fuller Tests with R
AbstractThis paper describes CADFtest, a R (R Development Core Team 2008) 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 InfoPaper provided by University of Molise, Dept. EGSeI in its series Economics & Statistics Discussion Papers with number esdp09051.
Length: 16 pages
Date of creation: 31 Mar 2009
Date of revision:
Publication status: Published in Journal of Statistical Software, 2009, vol. 32, no. 2, pp. 1-19.
Note: The published version is a substantial update of the working paper version.
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More information through EDIRC
unit root; stationary covariates; asymptotic p-values; R.;
Find related papers by JEL classification:
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-04-13 (All new papers)
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