Package dev.nm.stat.test.timeseries.adf
Class ADFAsymptoticDistribution
- java.lang.Object
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- dev.nm.stat.distribution.univariate.EmpiricalDistribution
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- dev.nm.stat.test.timeseries.adf.ADFAsymptoticDistribution
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- All Implemented Interfaces:
ProbabilityDistribution
public class ADFAsymptoticDistribution extends EmpiricalDistribution
This class computes the asymptotic distribution of the Augmented Dickey-Fuller (ADF) test statistic. There are three main versions of the test and thus three possible asymptotic distributions:- test for a unit root without drift or time trend (NO_CONSTANT);
- test for a unit root with drift (CONSTANT);
- test for a unit root with drift and deterministic time trend (CONSTANT_TIME).
- See Also:
- D. A. Dickey and W. A. Fuller, "Distribution of the Estimators for Autoregressive Time Series with a Unit Root," J. Amer. Stat. Assoc., vol. 74, pp. 427-431, 1979.
- E. Said and D. A. Dickey, "Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order," Biometrika, vol. 71, 599-607, 1984.
- A. Banerjee et al., "ch. 4, pp. 99-135," Cointegration, Error Correction, and the Econometric Analysis of Non-Stationary Data, Oxford, Oxford University Press, 1993.
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Constructor Summary
Constructors Constructor Description ADFAsymptoticDistribution(TrendType trend)
Construct an asymptotic distribution for the augmented Dickey-Fuller test statistic.ADFAsymptoticDistribution(TrendType trend, int nSims, int nT, long seed)
Construct an asymptotic distribution for the augmented Dickey-Fuller test statistic.
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Constructor Detail
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ADFAsymptoticDistribution
public ADFAsymptoticDistribution(TrendType trend, int nSims, int nT, long seed)
Construct an asymptotic distribution for the augmented Dickey-Fuller test statistic.- Parameters:
trend
- the type of Augmented Dickey-Fuller testnSims
- the number of simulationsnT
- the number of grid points in interval [0, 1]seed
- the seed
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ADFAsymptoticDistribution
public ADFAsymptoticDistribution(TrendType trend)
Construct an asymptotic distribution for the augmented Dickey-Fuller test statistic.- Parameters:
trend
- the type of Augmented Dickey-Fuller test
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