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, Lupi, and Popp (2007).
CADFpvalues(t0, rho2 = 0.5, trend=c("c", "nc", "ct", "none", "drift", "trend"))
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"). |
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, URL http://econpapers.repec.org/paper/molecsdps/esdp07039.htm.
CADFpvalues(t0=-1.7, rho2=0.20, trend="trend")