Package dev.nm.stat.test.timeseries.adf
Class ADFAsymptoticDistribution1
- java.lang.Object
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- dev.nm.stat.distribution.univariate.EmpiricalDistribution
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- dev.nm.stat.test.timeseries.adf.ADFAsymptoticDistribution1
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- All Implemented Interfaces:
ProbabilityDistribution
@Deprecated public class ADFAsymptoticDistribution1 extends EmpiricalDistribution
Deprecated.use insteadADFAsymptoticDistributionThis is the asymptotic distribution of the Augmented Dickey-Fuller test statistic, for theTrendType.CONSTANT_TIMEcase. 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."
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Nested Class Summary
Nested Classes Modifier and Type Class Description static classADFAsymptoticDistribution1.TypeDeprecated.the available types of Dickey-Fuller tests
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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.
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Constructor Detail
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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
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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
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