public class ADFAsymptoticDistribution extends EmpiricalDistribution
There are three main versions of the test and thus three possible asymptotic distributions:
The p-values in R are interpolated using the values from Table 4.2, p. 103 of Banerjee et al. (1993).
| Modifier and Type | Field and Description |
|---|---|
int |
nSim
the number of simulations
|
int |
nT
the number of grid points in interval [0, 1]
|
AugmentedDickeyFuller.TrendType |
trend
the type of augmented Dickey-Fuller (ADF) test
|
| Constructor and Description |
|---|
ADFAsymptoticDistribution(AugmentedDickeyFuller.TrendType trend)
Construct the asymptotic distribution for the augmented Dickey-Fuller test statistics.
|
ADFAsymptoticDistribution(AugmentedDickeyFuller.TrendType trend,
int nSim,
int nT,
long seed)
Construct the asymptotic distribution for the augmented Dickey-Fuller test statistics.
|
public final AugmentedDickeyFuller.TrendType trend
public final int nSim
public final int nT
The bigger nT is, the finer the time discretization is, the smaller the discretization error is, and the more accurate the results are.
public ADFAsymptoticDistribution(AugmentedDickeyFuller.TrendType trend, int nSim, int nT, long seed)
trend - the type of augmented Dickey-Fuller testnSim - the number of simulationsnT - the number of grid points in interval [0, 1]seed - the seedpublic ADFAsymptoticDistribution(AugmentedDickeyFuller.TrendType trend)
trend - the type of augmented Dickey-Fuller test