Unit Root CADF Testing with R
نویسنده
چکیده
This introduction to the CADFtest package is a (slightly) modified version of Lupi (2009), published in the Journal of Statistical Software. CADFtest is 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 (1995b). The procedures presented here are user friendly, allow fully automatic model specification, and allow computation of the asymptotic p values of the test.
منابع مشابه
RISE Working Paper 15 - 009 “ Bootstrapping Unit Root Tests with Covariates ” by Yoosoon Chang , Robin C . Sickles and Wonho Song RISE RICE INITIATIVE for the STUDY of ECONOMICS
We consider the bootstrap method for the covariates augmented DickeyFuller (CADF) unit root test suggested in Hansen (1995) which uses related variables to improve the power of univariate unit root tests. It is shown that there are substantial power gains from including correlated covariates. The limit distribution of the CADF test, however, depends on the nuisance parameter that represents the...
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We consider the bootstrap method for the covariates augmented DickeyFuller (CADF) unit root test suggested in Hansen (1995) which uses related variables to improve the power of univariate unit root tests. It is shown that there are substantial power gains from including correlated covariates. The limit distribution of the CADF test, however, depends on the nuisance parameter that represents the...
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