NEWS
qadf 1.0.2 (2026-09-30)
- Bug fix: the test regression used the first difference as the dependent variable, so the coefficient on y(t-1) was rho - 1, not rho; the statistic then subtracted 1 a second time. The quantile autoregression is now estimated in levels, as in Koenker and Xiao (2004), and
rho_tau, rho_ols, coef_stat and half_life refer to rho.
- Bug fix: the statistic now follows equation (9) of Koenker and Xiao (2004): the density at the quantile is the difference quotient of the fitted conditional quantile at tau +/- h (Hall-Sheather bandwidth), and the regressor y(t-1) is projected off the constant, the lagged differences and, for
model = "ct", the trend. The previous version used a kernel estimate on residuals and the OLS moment matrix.
- Bug fix: the critical values now depend on the estimated nuisance parameter delta^2, as in Hansen (1995), interpolated on the grid 0.1, ..., 1. The previous table was indexed by tau, which the limiting distribution does not depend on.
- Bug fix:
delta2 was always sigma^2 because the sum of the lag coefficients matched no column name; it is now the squared correlation between the differenced series and psi_tau of the quantile residuals.
- Lag selection (AIC, BIC and sequential t) now uses the ADF regression on a common sample, with a trend for
model = "ct".
- Results agree with the Stata command qadf (SSC) for
model = "c" on the same simulated series and lag order (t = -1.166 in both).
qadf 1.0.1
- Corrected the DOI of Hansen (1995) to 10.1017/S0266466600009993 in DESCRIPTION, README, R and Rd files. No changes to code.
qadf 1.0.0 (2026-03-20)
- Initial CRAN release.
- Implements the Quantile ADF unit root test of Koenker and Xiao (2004).
- Supports constant and constant-plus-trend deterministic models.
- Lag selection via AIC, BIC, or sequential t-statistic.
- Critical values from Hansen (1995).