com.numericalmethod.suanshu.stats.test.timeseries.adf
Class AdfAsymptoticDistribution1

java.lang.Object
  com.numericalmethod.suanshu.stats.distribution.univariate.EmpiricalDistribution
      com.numericalmethod.suanshu.stats.test.timeseries.adf.AdfAsymptoticDistribution1

All Implemented Interfaces:

UnivariateDistribution

public class AdfAsymptoticDistribution1
extends EmpiricalDistribution

This is the asymptotic distribution of the Augmented Dickey-Fuller test statistics, for the CONSTANT_TIME case.

The p-values in R are interpolated using the values from Table 4.2, p. 103 of Banerjee et al. (1993).

See Also:

• "Wayne A. Fuller. "Introduction to Statistical Time Series". Chapter 10. pp.553, 554, 561, 568."
• "A. Banerjee, J. J. Dolado, J. W. Galbraith, and D. F. Hendry. "Cointegration, Error Correction, and the Econometric Analysis of Non-Stationary Data", 1993. Oxford University Press, Oxford."

Nested Class Summary

static class

AdfAsymptoticDistribution1.Type the types of Dickey-Fuller tests available

Field Summary

int	nSim the number of simulations
int	nT the number of grid point in interval [0, 1] The bigger nT is, the finer the time discretization is, the smaller the discretization error is, the more accurate the results are.
long	seed the seed (for randomly generating the simulations)

Constructor Summary

AdfAsymptoticDistribution1(AdfAsymptoticDistribution1.Type type)
Construct the asymptotic distribution for the Augmented Dickey Fuller test statistics.

AdfAsymptoticDistribution1(int nT, int nSim, AdfAsymptoticDistribution1.Type type, long seed)
Construct the asymptotic distribution for the Augmented Dickey Fuller test statistics.

Method Summary

Methods inherited from class com.numericalmethod.suanshu.stats.distribution.univariate.EmpiricalDistribution

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

Methods inherited from class java.lang.Object

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

Field Detail

nT

public final int nT

the number of grid point in interval [0, 1]

The bigger nT is, the finer the time discretization is, the smaller the discretization error is, the more accurate the results are.

nSim

public final int nSim

the number of simulations

seed

public final long seed

the seed (for randomly generating the simulations)

Constructor Detail

AdfAsymptoticDistribution1

public AdfAsymptoticDistribution1(AdfAsymptoticDistribution1.Type type)

Construct the asymptotic distribution for the Augmented Dickey Fuller test statistics.

Parameters:

type - the type of Dickey-Fuller test

AdfAsymptoticDistribution1

public AdfAsymptoticDistribution1(int nT,
                                  int nSim,
                                  AdfAsymptoticDistribution1.Type type,
                                  long seed)

Construct the asymptotic distribution for the Augmented Dickey Fuller test statistics.

Parameters:

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

nSim - the number of simulations

type - the types of Dickey-Fuller tests available

seed - the seed