Notifications

Clear all

Topic starter 29/07/2024 1:06 am

Hello,

I am trying to understand how to create the: AugmentedDickeyFuller

The parameter I have problem to declare is the below ADFDistribution

ADFDistribution ADF_dist

How to implement that correctly for this C# code?

Thank you!

double[] array_MSFT = new double[10] { 1, 2, 3, 4, 5, 6, 7, 8, 9, 10 }; int lagOrder = 0; ADFDistribution ADF_dist = new ??? AugmentedDickeyFuller ADFtest = new AugmentedDickeyFuller(array_MSFT, TrendType.CONSTANT, lagOrder, ADF_dist); double pValue = ADFtest.pValue(); double statistic = ADFtest.statistics(); MessageBox.Show(pValue + "__" + statistic);

Topic starter 30/07/2024 4:07 pm

I think I found a way like this:

ADFDistribution dist = TrendType.NO_CONSTANT.getDistribution(data.Length);

Thank you!