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.

Abstract T his paper is to convince the usage of the nonlinear unit root tests when dealing with a nonlinear model. To do so, the stationary test for variables in a model titles “Fiscal Reaction Function in Iran” has been applied according to both the ordinary and the Nonlinear Dickey-Fuller (NDF) tests. Results show that while variables under investigation are stationary ...

generally, high oil prices slow economic growth, cause inflationary pressures and creates global imbalances. in addition, oil price volatility increase uncertainty and restrain the much-needed investment in the capital market. thus, this paper applies the augmented dickey fuller and johansen co-integration tests in which the effect of oil price volatility, crude oil price and stock price is ana...

Hysteresis effect on unemployment is a much discussed topic in macroeconomics. However, empirical findings regarding the existence of hysteresis effect are contradictory. The present study investigates hysteresis in the unemployment rates of the Visegrad Group countries, namely: the Czech Republic, Hungary, Poland and Slovakia. For this purpose it employs the following three econometric methods...

This note shows that the Augmented Dickey Fuller test is consi stent against fractional alternatives if the order of the autoregres sion does not tend to in nity too fast

the prime objective of the study is to identify the long-run and short-run relationship between indian stock price viz., bse sensex (hereafter named as bse) and gold price (gold) in india. the daily closing price data were collected for the period of ten years ranging from 1st april 2004 to 31st march 2014 with 2490 observations. the study employed two models: model one used gold as dependent v...

The prime objective of the study is to identify the long-run and short-run relationship between Indian stock price viz., BSE SENSEX (hereafter named as BSE) and gold price (GOLD) in India. The daily closing price data were collected for the period of ten years ranging from 1st April 2004 to 31st March 2014 with 2490 observations. The study employed two models: Model one us...

In the first half of the paper I study spurious regressions in panel data. Asymptotic properties of the least-squares dummy variable (LSDV) estimator and other conventional statistics are examined. The asymptotics of LSDV estimator are different from those of the spurious regression in the pure time-series. This has an important consequence for residual-based cointegration tests in panel data, ...

We propose a simple modification to the general-to-specific lag-length selection method typically employed in a standard augmented Dickey-Fuller (ADF) test and apply it to examine the stationarity of OECD countries’ inflation rates. Instead of using the entire set of lags selected by the general-to-specific method, we suggest using only the lags that are statistically significant. Our Monte Car...