CADFpvalues {CADFtest}R Documentation

p-values of the CADF test.

Description

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, Lupi, and Popp (2007).

Usage

CADFpvalues(t0, rho2 = 0.5, trend=c("c", "nc", "ct", "none", "drift", "trend"))

Arguments

t0 the value of the test statistic;
rho2 the estimated value of the long-run correlation;
trend defines the deterministic kernel used in the test. It accepts the values used either in fUnitRoots or urca packages. It specifies if the underlying model must be with constant ("c" or "drift", the default), without constant ("nc" or "none"), or with constant and trend ("ct" or "trend").

Value

p.value, a scalar containing the estimated asymptotic p-value of the test.

Author(s)

Claudio Lupi

References

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, URL http://econpapers.repec.org/paper/molecsdps/esdp07039.htm.

Examples

  CADFpvalues(t0=-1.7, rho2=0.20, trend="trend")

[Package CADFtest version 0.1-0 Index]