Unit Root CADF Testing with R

Claudio Lupi

University of Molise

Abstract
This paper describes CADFtest, an R package for testing for the presence of a unit root in a time series using the covariate-augmented Dickey-Fuller (CADF) test proposed in Hansen (1995b). The procedures presented here are user friendly, allow fully automatic model specication, and allow computation of the asymptotic p values of the test.
Keywords: unit root, stationary covariates, asymptotic p values, R.

http://www.jstatsoft.org/v32/i02/paper