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 |
|---|---|
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, oneSidedPvaluepublic 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()
HypothesisTestgetNullHypothesis in class HypothesisTestpublic String getAlternativeHypothesis()
HypothesisTestgetAlternativeHypothesis in class HypothesisTestpublic double statistics()
HypothesisTeststatistics in class HypothesisTestpublic double pValue()
HypothesisTestpValue in class HypothesisTestCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.