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 = c('https://cran.r-universe.dev', '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

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

2.57 score 37 scripts 686 downloads 10 exports 72 dependencies

Last updated 8 years agofrom:405d9d90df. Checks:OK: 2. Indexed: yes.

Target	Result	Date
Doc / Vignettes	OK	Oct 31 2024
R-4.5-linux	OK	Oct 31 2024

Exports:bread.mlm CADFpvalues CADFtest CADFtest.default CADFtest.formula estfun.mlm plot.CADFtest residuals.CADFtest summary.CADFtest update.CADFtest

Dependencies:abind backports boot broom car carData cli colorspace cowplot cpp11 curl Deriv doBy dplyr dynlm fansi farver Formula generics ggplot2 glue gtable isoband jsonlite labeling lattice lifecycle lme4 lmtest magrittr MASS Matrix MatrixModels mgcv microbenchmark minqa modelr munsell nlme nloptr nnet numDeriv pbkrtest pillar pkgconfig purrr quadprog quantmod quantreg R6 RColorBrewer Rcpp RcppEigen rlang sandwich scales SparseM stringi stringr survival tibble tidyr tidyselect tseries TTR urca utf8 vctrs viridisLite withr xts zoo

CADFtest

Rendered fromCADFtest.Rnwusingutils::Sweaveon Oct 31 2024.

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

Citation

Readme and manuals

Help Manual

Help page	Topics
p-values of the CADF test for unit roots	CADFpvalues
Hansen's Covariate-Augmented Dickey Fuller (CADF) test for unit roots	CADFtest CADFtest.default CADFtest.formula
Tables of coefficients to compute p-values	coeffs_c coeffs_ct coeffs_nc
Function to plot CADFtest objects	plot.CADFtest
Function to extract the residuals from CADFtest objects	residuals.CADFtest
Function to print a summary of CADFtest objects	summary.CADFtest
Function to update the formula of CADFtest objects	update.CADFtest