ADFAsymptoticDistribution
@Deprecated public class ADFAsymptoticDistribution1 extends EmpiricalDistribution
TrendType.CONSTANT_TIME
case.
Note that our results are different from those in R.
The p-values in R are interpolated using the values from Table 4.2, p. 103 of Banerjee et al.
(1993).
SuanShu computes the exact p-values (and hence the whole cdf).
See http://numericalmethod.com/forum/index.php/topic,122.0.htmlModifier and Type | Class and Description |
---|---|
static class |
ADFAsymptoticDistribution1.Type
Deprecated.
the available types of Dickey-Fuller tests
|
Constructor and Description |
---|
ADFAsymptoticDistribution1(ADFAsymptoticDistribution1.Type type)
Deprecated.
Construct an asymptotic distribution for the augmented Dickey-Fuller test statistic.
|
ADFAsymptoticDistribution1(int nT,
int nSims,
ADFAsymptoticDistribution1.Type type,
long seed)
Deprecated.
Construct an asymptotic distribution for the augmented Dickey-Fuller test statistic.
|
public ADFAsymptoticDistribution1(ADFAsymptoticDistribution1.Type type)
type
- the type of Dickey-Fuller testpublic ADFAsymptoticDistribution1(int nT, int nSims, ADFAsymptoticDistribution1.Type type, long seed)
nT
- the number of grid point in interval [0, 1]nSims
- the number of simulationstype
- the type of Dickey-Fuller testseed
- the seedCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.