public class AugmentedDickeyFuller extends HypothesisTest
adf.test
in package tseries
.Constructor and Description |
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AugmentedDickeyFuller(double[] x)
Performs the Augmented Dickey-Fuller test to test for the existence of unit root.
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AugmentedDickeyFuller(double[] x,
TrendType type,
int lagOrder,
ADFDistribution dist)
Performs the Augmented Dickey-Fuller test to test for the existence of unit root.
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Modifier and Type | Method and Description |
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String |
getAlternativeHypothesis()
Get the description of the alternative hypothesis.
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String |
getNullHypothesis()
Get a description of the null hypothesis.
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double |
pValue()
Get the p-value for the test statistics.
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double |
statistics()
Get the test statistics.
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isNullRejected, nGroups, nObs, oneSidedPvalue
public AugmentedDickeyFuller(double[] x, TrendType type, int lagOrder, ADFDistribution dist)
x
- a time seriestype
- the trend typelagOrder
- the lag order; when lagOrder
= 0, we perform the original
Dickey-Fuller test.dist
- the ADF distribution to use; in general, the correct ADF distribution depends
on the trend type and lag order;
to improve accuracy, the user may generate and use a customized ADF distribution;
null
for the defaultpublic AugmentedDickeyFuller(double[] x)
nLag = (int) Math.pow((series.length - 1, 1.0 / 3.0));
This corresponds to the suggested upper bound on the rate.x
- a time seriespublic String getNullHypothesis()
HypothesisTest
getNullHypothesis
in class HypothesisTest
public String getAlternativeHypothesis()
HypothesisTest
getAlternativeHypothesis
in class HypothesisTest
public double statistics()
HypothesisTest
statistics
in class HypothesisTest
public double pValue()
HypothesisTest
pValue
in class HypothesisTest
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