These are R packages that I have written for my own research. They are freely available for all R users: just click on the package name and you will be redirected to the download page. You can find more information on the packages in the linked papers.
CADFtest: This package performs Hansen's (1995) Covariate-Augmented Dickey-Fuller (CADF) test. The only required argument is y, the Tx1 time series to be tested. If no stationary covariate X is passed to the procedure, then an ordinary ADF test is performed. The package implementation and usage are illustrated in Lupi (2009). To install the package from within R:
If you use CADFtest in publications, please cite:
Lupi C. (2009). "Unit Root CADF Testing with R", Journal of Statistical Software, 32 (2), 1-19.
punitroots: Tests for unit roots in panels of (economic) time series, with and without cross-sectional dependence. The use of the package is illustrated in Lupi (2011). The recent panel-CADF (pCADF) test discussed in Costantini and Lupi (2013) can be carried out using punitroots. punitroots is a joint project with Christian Kleiber. To install the package from within R:
> install.packages("punitroots", repos="http://R-Forge.R-project.org")
If you use punitroots in publications, please cite:
Costantini, M. and Lupi, C. (2013). "A Simple Panel-CADF Test for Unit Roots", Oxford Bulletin of Economics & Statistics, 75 (2) , 276-296.
Kleiber, C. and Lupi, C. (2012). "punitroots: Tests for Unit Roots in Panels of (Economic) Time Series, With and Without Cross-sectional Dependence", R package.