dev.nm.stat.test.timeseries.adf

Class ADFAsymptoticDistribution

java.lang.Object

dev.nm.stat.distribution.univariate.EmpiricalDistribution

dev.nm.stat.test.timeseries.adf.ADFAsymptoticDistribution

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:

1. test for a unit root without drift or time trend (NO_CONSTANT);
2. test for a unit root with drift (CONSTANT);
3. test for a unit root with drift and deterministic time trend (CONSTANT_TIME).

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:

• 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.

Constructor Summary

Constructors

Constructor and 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.

Method Summary

Methods inherited from class dev.nm.stat.distribution.univariate.EmpiricalDistribution

cdf, density, entropy, kurtosis, mean, median, moment, nSamples, quantile, skew, toArray, variance

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

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 test

nSims - the number of simulations

nT - the number of grid points in interval [0, 1]

seed - the seed

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