Test statistics

Function to estimate the ADF/SADF/GSADF test statstics

rtadf()

Estimate the ADF/SADF/GSADF test statistic

Inference

Functions for calculating critical and p values based on response surface aproximation or Monte Carlo simulations

rtadfCval()

Returns critical values based on a response surface function approximation

rtadfPval()

Returns p-values based on a response surface function approximation

rtadfSim()

Simulate critical values and date-stamping threshold sequence

rtadfSimPar()

Simulate critical values and date-stamping threshold sequence in parallel

Data

Data used in the examples

snp

S&P 500 price to dividend ratio index.