| coeffs_ct {CADFtest} | R Documentation |
Tables of coefficients to compute p-values
Description
These tables contain the response surface coefficients needed to compute the p-value of Hansen's
CADF test (see Costantini et al., 2007; Lupi, 2009). coeffs_ct, coeffs_c,
coeffs_nc are the relevant tables for the constant plus trend, constant, and
no constant case, respectively.
Usage
data("coeffs_ct")
data("coeffs_c")
data("coeffs_nc")
Format
The tables are saved as binary data .rda objects. They are (1005 \times 5) matrices,
where the first column represents probabilities and the following four columns are
\beta_0, \ldots, \beta_3 in eqn. (13) in Costantini et al. (2007) (see also Lupi, 2009).
Author(s)
Claudio Lupi
Source
Costantini et al. (2007).
References
Costantini M, Lupi C, Popp S (2007), A Panel-CADF Test for Unit Roots, University of Molise, Economics & Statistics Discussion Paper 39/07. http://econpapers.repec.org/paper/molecsdps/esdp07039.htm.
Lupi C (2009). Unit Root CADF Testing with R, Journal of Statistical Software, 32(2), 1–19. http://www.jstatsoft.org/v32/i02/