CADFtest: A Package to Perform Covariate Augmented Dickey-Fuller Unit Root Tests

Hansen's (1995) Covariate-Augmented Dickey-Fuller (CADF) test. The only required argument is y, the Tx1 time series to be tested. If no stationary covariate X is passed to the procedure, then an ordinary ADF test is performed. The p-values of the test are computed using the procedure illustrated in Lupi (2009).

Version: 0.3-3
Depends: dynlm, sandwich, tseries, urca
Published: 2017-06-02
DOI: 10.32614/CRAN.package.CADFtest
Author: Claudio Lupi
Maintainer: Claudio Lupi <lupi at>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: no
Citation: CADFtest citation info
Materials: NEWS
In views: Econometrics, Finance, TimeSeries
CRAN checks: CADFtest results


Reference manual: CADFtest.pdf
Vignettes: CADFtest


Package source: CADFtest_0.3-3.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): CADFtest_0.3-3.tgz, r-oldrel (arm64): CADFtest_0.3-3.tgz, r-release (x86_64): CADFtest_0.3-3.tgz, r-oldrel (x86_64): CADFtest_0.3-3.tgz
Old sources: CADFtest archive


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