qadf 1.0.2

• 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

• 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).