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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).

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.