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Covariate Augmented Dickey-Fuller Tests with R
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Abstract
This paper describes CADFtest, a R (R Development Core Team 2008) 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 (1995). The procedures presented here are user friendly, allow fully automatic model specification, and allow computation of the asymptotic p-values of the test.unit root, stationary covariates, asymptotic p-values, R.