Package: CADFtest 0.3-3

Claudio Lupi

CADFtest: A Package to Perform Covariate Augmented Dickey-Fuller Unit Root Tests

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).

Authors:Claudio Lupi

CADFtest_0.3-3.tar.gz
CADFtest_0.3-3.tar.gz(r-4.5-noble)CADFtest_0.3-3.tar.gz(r-4.4-noble)
CADFtest_0.3-3.tgz(r-4.4-emscripten)CADFtest_0.3-3.tgz(r-4.3-emscripten)
CADFtest.pdf |CADFtest.html✨
CADFtest/json (API)
NEWS

# Install 'CADFtest' in R:
install.packages('CADFtest', repos = 'https://cloud.r-project.org')
Datasets:
  • coeffs_c - Tables of coefficients to compute p-values
  • coeffs_ct - Tables of coefficients to compute p-values
  • coeffs_nc - Tables of coefficients to compute p-values

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.00 score 1 stars 870 downloads 10 exports 75 dependencies

Last updated 8 years agofrom:405d9d90df. Checks:3 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 30 2025
R-4.5-linuxOKMar 30 2025
R-4.4-linuxOKMar 30 2025

Exports:bread.mlmCADFpvaluesCADFtestCADFtest.defaultCADFtest.formulaestfun.mlmplot.CADFtestresiduals.CADFtestsummary.CADFtestupdate.CADFtest

Dependencies:abindbackportsbootbroomcarcarDataclicolorspacecowplotcpp11curlDerivdoBydplyrdynlmfansifarverFormulagenericsggplot2gluegtableisobandjsonlitelabelinglatticelifecyclelme4lmtestmagrittrMASSMatrixMatrixModelsmgcvmicrobenchmarkminqamodelrmunsellnlmenloptrnnetnumDerivpbkrtestpillarpkgconfigpurrrquadprogquantmodquantregR6rbibutilsRColorBrewerRcppRcppEigenRdpackreformulasrlangsandwichscalesSparseMstringistringrsurvivaltibbletidyrtidyselecttseriesTTRurcautf8vctrsviridisLitewithrxtszoo

CADFtest

Rendered fromCADFtest.Rnwusingutils::Sweaveon Mar 30 2025.

Last update: 2017-06-02
Started: 2014-01-08

Citation

To cite CADFtest in publications use:

Claudio Lupi (2009). Unit Root CADF Testing with R. Journal of Statistical Software, 32 (2), 1-19.

Corresponding BibTeX entry: 

  @Article{,
    title = {Unit Root CADF Testing with {R}},
    author = {Claudio Lupi},
    journal = {Journal of Statistical Software},
    year = {2009},
    volume = {32},
    pages = {20},
    number = {2},
  }