Covariate Augmented Dickey-fuller Tests with R Covariate Augmented Dickey-fuller Tests with R
نویسنده
چکیده
This 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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