A Package to Perform Covariate Augmented Dickey-Fuller Unit Root Tests
p-values of the CADF test for unit roots
Internal CADF test functions
Hansen's Covariate-Augmented Dickey Fuller (CADF) test for unit roots
Function to plot CADFtest objects
Function to extract the residuals from CADFtest objects
Function to print a summary of CADFtest objects
Function to update the formula of CADFtest objects
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).