CADFtest (0.3-3)

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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).

Maintainer: Claudio Lupi
Author(s): Claudio Lupi

License: GPL (>= 2)

Uses: dynlm, sandwich, tseries, urca

Released almost 3 years ago.

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