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")