| CADFpvalues {CADFtest} | R Documentation |
The asymptotic p-values of the Hansen's (1995) Covariate-Augmented Dickey Fuller (CADF) test for a unit root are computed using the approach outlined in Costantini et al. (2007).
CADFpvalues(t0, rho2 = 0.5, type=c("trend", "drift", "none"))
t0 |
the value of the test statistic; |
rho2 |
the estimated value of the long-run correlation; |
type |
defines the deterministic kernel used in the test. It accepts the values used in
package urca. It specifies if the underlying model must be with
linear trend ("trend", the default), with constant ("drift") or without constant
("none"). |
p.value, a scalar containing the estimated asymptotic p-value of the test.
Claudio Lupi
Hansen BE (1995). Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power, Econometric Theory, 11(5), 1148–1171.
Costantini M, Lupi C, Popp S (2007), A Panel-CADF Test for Unit Roots, University of Molise, Economics & Statistics Discussion Paper 39/07. http://econpapers.repec.org/paper/molecsdps/esdp07039.htm
CADFpvalues(t0=-1.7, rho2=0.20, type="trend")