Class ADFAsymptoticDistribution1

  • All Implemented Interfaces:
    ProbabilityDistribution

    @Deprecated
    public class ADFAsymptoticDistribution1
    extends EmpiricalDistribution
    Deprecated.
    This is the asymptotic distribution of the Augmented Dickey-Fuller test statistic, for the 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.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."
    • 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 simulations
        type - the type of Dickey-Fuller test
        seed - the seed