coeffs_ct {CADFtest} | R Documentation |
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.
data("coeffs_ct")
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).
If these tables are used, please cite Costantini et al. (2007).
Claudio Lupi
Costantini et al. (2007).
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/