Package dev.nm.stat.test.timeseries.adf
Class ADFAsymptoticDistribution1
- java.lang.Object
-
- dev.nm.stat.distribution.univariate.EmpiricalDistribution
-
- dev.nm.stat.test.timeseries.adf.ADFAsymptoticDistribution1
-
- All Implemented Interfaces:
ProbabilityDistribution
@Deprecated public class ADFAsymptoticDistribution1 extends EmpiricalDistribution
Deprecated.use insteadADFAsymptoticDistribution
This is the asymptotic distribution of the Augmented Dickey-Fuller test statistic, for theTrendType.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.html- See Also:
- "Wayne A. Fuller, "Chapter 10, pp.553, 554, 561, 568," Introduction to Statistical Time Series."
- "A. Banerjee, J. J. Dolado, J. W. Galbraith, and D. F. Hendry, Cointegration, Error Correction, and the Econometric Analysis of Non-Stationary Data, Oxford University Press, Oxford, 1993."
-
-
Nested Class Summary
Nested Classes Modifier and Type Class Description static class
ADFAsymptoticDistribution1.Type
Deprecated.the available types of Dickey-Fuller tests
-
Constructor Summary
Constructors Constructor Description ADFAsymptoticDistribution1(int nT, int nSims, ADFAsymptoticDistribution1.Type type, long seed)
Deprecated.Construct an asymptotic distribution for the augmented Dickey-Fuller test statistic.ADFAsymptoticDistribution1(ADFAsymptoticDistribution1.Type type)
Deprecated.Construct an asymptotic distribution for the augmented Dickey-Fuller test statistic.
-
-
-
Constructor Detail
-
ADFAsymptoticDistribution1
public ADFAsymptoticDistribution1(ADFAsymptoticDistribution1.Type type)
Deprecated.Construct an asymptotic distribution for the augmented Dickey-Fuller test statistic.- Parameters:
type
- the type of Dickey-Fuller test
-
ADFAsymptoticDistribution1
public ADFAsymptoticDistribution1(int nT, int nSims, ADFAsymptoticDistribution1.Type type, long seed)
Deprecated.Construct an asymptotic distribution for the augmented Dickey-Fuller test statistic.- Parameters:
nT
- the number of grid point in interval [0, 1]nSims
- the number of simulationstype
- the type of Dickey-Fuller testseed
- the seed
-
-