coeffs_ct {CADFtest}R Documentation

Tables of coefficients to compute p-values as estimated by Costantini et al. (2007)

Description

These tables contain the response surface coefficients needed to compute the p-value of Hansen's CADF test (see Costantini et al., 2007; Lupi, 2009). coeffs_ct, coeffs_c, coeffs_nc are the relevant tables for the constant plus trend, constant, and no constant case, respectively.

Usage

data("coeffs_ct")

Format

The tables are saved as binary data .rda objects. They are (1005 times 5) matrices, where the first column represents probabilities and the following four columns are β_0, ..., β_3 in eqn. (13) in Costantini et al. (2007) (see also Lupi, 2009).

Note

If these tables are used, please cite Costantini et al. (2007).

Author(s)

Claudio Lupi

Source

Costantini et al. (2007).

References

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.

Lupi C (2009). Unit Root CADF Testing with R, Journal of Statistical Software, 32(2), 1–19. http://www.jstatsoft.org/v32/i02/


[Package CADFtest version 0.3-0 Index]