Package: CADFtest
Title: Hansen's Covariate-Augmented Dickey-Fuller (CADF) Test
Version: 0.3-0
Date: 2009-10-06
Author: Claudio Lupi
Maintainer: Claudio Lupi <lupi@unimol.it>
Depends: dynlm, sandwich, tseries, urca
Suggests: fUnitRoots
Description: This package performs Hansen's (1995) Covariate-Augmented
        Dickey-Fuller (CADF) test. The only required argument is y, the
        univariate 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 a
        procedure proposed in Costantini, Lupi and Popp (2007),
        illustrated in Lupi (2009).
License: GPL (>= 2)
URL: http://econpapers.repec.org/paper/molecsdps/esdp09051.htm
LazyLoad: yes
LazyData: yes
Packaged: 2009-10-06 12:23:51 UTC; zeileis
Repository: CRAN
Date/Publication: 2009-10-06 13:10:07
