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 matrices,
where the first column represents probabilities and the following four columns are
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/