Package dev.nm.stat.test.timeseries.adf
Class ADFFiniteSampleDistribution
- java.lang.Object
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- dev.nm.stat.distribution.univariate.EmpiricalDistribution
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- dev.nm.stat.test.timeseries.adf.ADFFiniteSampleDistribution
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- All Implemented Interfaces:
ProbabilityDistribution
public class ADFFiniteSampleDistribution extends EmpiricalDistribution
This class computes the finite sample distribution of the Augmented Dickey-Fuller (ADF) test statistics. 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 ADFFiniteSampleDistribution(int sampleSize)
Construct a finite sample distribution for the Augmented Dickey-Fuller test statistic.ADFFiniteSampleDistribution(int sampleSize, TrendType trend)
Construct a finite sample distribution for the original Dickey-Fuller test statistic.ADFFiniteSampleDistribution(int sampleSize, TrendType trend, boolean lagAdjust, int lagOrder)
Construct a finite sample distribution for the Augmented Dickey-Fuller test statistic.ADFFiniteSampleDistribution(int sampleSize, TrendType trend, boolean lagAdjust, int lagOrder, int truncation, int nSims, long seed)
Construct a finite sample distribution for the Augmented Dickey-Fuller test statistic.
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Constructor Detail
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ADFFiniteSampleDistribution
public ADFFiniteSampleDistribution(int sampleSize, TrendType trend, boolean lagAdjust, int lagOrder, int truncation, int nSims, long seed)
Construct a finite sample distribution for the Augmented Dickey-Fuller test statistic.- Parameters:
sampleSize
- the (finite) sample sizetrend
- the type of Augmented Dickey-Fuller testlagAdjust
-true
if the distribution is adjusted for lagslagOrder
- the lag order;lagOrder = 0
yields the original Dickey-Fuller distributiontruncation
- the number of truncated valuesnSims
- the number of simulations
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ADFFiniteSampleDistribution
public ADFFiniteSampleDistribution(int sampleSize, TrendType trend, boolean lagAdjust, int lagOrder)
Construct a finite sample distribution for the Augmented Dickey-Fuller test statistic. The number of truncated values is 50.- Parameters:
sampleSize
- the (finite) sample sizetrend
- the type of Augmented Dickey-Fuller testlagAdjust
-true
if the distribution is adjusted for lagslagOrder
- the lag order;lagOrder = 0
yields the original Dickey-Fuller distribution
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ADFFiniteSampleDistribution
public ADFFiniteSampleDistribution(int sampleSize, TrendType trend)
Construct a finite sample distribution for the original Dickey-Fuller test statistic. We do not adjust for the lag.- Parameters:
sampleSize
- the (finite) sample sizetrend
- the type of Augmented Dickey-Fuller test
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ADFFiniteSampleDistribution
public ADFFiniteSampleDistribution(int sampleSize)
Construct a finite sample distribution for the Augmented Dickey-Fuller test statistic. We test for a unit root with a drift and a deterministic time trend.- Parameters:
sampleSize
- the (finite) sample size
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