Unit Root CADF Testing with R

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Authors Claudio Lupi
Journal/Conference Name Journal of Statistical Software
Paper Category
Paper Abstract This 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.
Date of publication 2009
Code Programming Language R
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