Package: qadf 1.0.0
qadf: Quantile Augmented Dickey-Fuller Unit Root Test
Implements the Quantile Augmented Dickey-Fuller (QADF) unit root test following Koenker and Xiao (2004) <doi:10.1198/016214504000000296>. The test extends the standard ADF test to different quantiles of the conditional distribution, allowing for unit root behavior that varies across the distribution. Includes the QKS (Quantile Kolmogorov-Smirnov) supremum test statistic for overall unit root inference, critical values from Hansen (1995), bootstrap p-values, half-life calculations, and visualization tools. Useful for testing purchasing power parity, asymmetric adjustment, and regime-dependent persistence.
Authors:
qadf_1.0.0.tar.gz
qadf_1.0.0.zip(r-4.7)qadf_1.0.0.zip(r-4.6)qadf_1.0.0.zip(r-4.5)
qadf_1.0.0.tgz(r-4.6-any)qadf_1.0.0.tgz(r-4.5-any)
qadf_1.0.0.tar.gz(r-4.7-any)qadf_1.0.0.tar.gz(r-4.6-any)
qadf_1.0.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
qadf/json (API)
| # Install 'qadf' in R: |
| install.packages('qadf', repos = c('https://muhammedalkhalaf.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/muhammedalkhalaf/qadf/issues
Last updated from:2b5a35b710. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 131 | ||
| source / vignettes | OK | 192 | ||
| linux-release-x86_64 | OK | 124 | ||
| macos-release-arm64 | OK | 95 | ||
| macos-oldrel-arm64 | OK | 77 | ||
| windows-devel | OK | 103 | ||
| windows-release | OK | 80 | ||
| windows-oldrel | OK | 82 | ||
| wasm-release | OK | 96 |
Exports:qadfqadf_bootstrap
Dependencies:latticeMASSMatrixMatrixModelsquantregSparseMsurvival
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Quantile Augmented Dickey-Fuller Unit Root Test | plot.qadf print.qadf qadf summary.qadf |
| Bootstrap QADF Test | qadf_bootstrap |
