ADFTest Class |
Allows to perform the augmented Dickey-Fuller test for an unit root.
References:
1. Dickey, D. A., and W. A. Fuller. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root." Econometrica. Vol. 49, 1981, pp. 1057-1072.2.Dickey, D. A., and W. A. Fuller. "Distribution of the Estimators for Autoregressive Time Series with a Unit Root." Journal of the American Statistical Association. Vol. 74, 1979, pp. 427-431.3.Hamilton, J. D. Time Series Analysis. Princeton, NJ: Princeton University Press, 1994.
Inheritance HierarchySystemObject
FinMath.Statistics.HypothesisTestingHypothesisTest
FinMath.Statistics.HypothesisTestingOneSampleTest
FinMath.Statistics.HypothesisTestingADFTest
FinMath.Statistics.HypothesisTestingHypothesisTest
FinMath.Statistics.HypothesisTestingOneSampleTest
FinMath.Statistics.HypothesisTestingADFTest
Namespace: FinMath.Statistics.HypothesisTesting
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
SyntaxC#
[SerializableAttribute] public class ADFTest : OneSampleTest
The ADFTest type exposes the following members.
ConstructorsProperties| Name | Description | |||||
|---|---|---|---|---|---|---|
 | AcceptanceRegionLeft |
Region of acceptance left border.
We fail to reject null hypothesis if test statistics is between left and right borders of region of acceptance.
http://en.wikipedia.org/wiki/Statistical_hypothesis_testing#Definition_of_terms
(Overrides HypothesisTestAcceptanceRegionLeft.) | ||||
| AcceptanceRegionRight |
Region of acceptance right border.
We fail to reject null hypothesis if test statistics is between left and right borders of region of acceptance.
http://en.wikipedia.org/wiki/Statistical_hypothesis_testing#Definition_of_terms
(Overrides HypothesisTestAcceptanceRegionRight.) | ||||
| Alpha |
The intercept constant or drift.
| ||||
| Beta |
The coefficient on a time trend.
| ||||
| CValue |
The c-value of the test statistic.
| ||||
| Decision |
The decision for the test:
| ||||
| DecisionPrinciple |
Marks whether decision should be made comparing P-value with Significance level or test statistics with critical value.
(Inherited from HypothesisTest.) | ||||
| Delta |
The vector of coefficients of lagged derivatives.
| ||||
| Gamma |
The coefficient presenting the process' root, i.e. the focus of testing.
| ||||
| PValue |
The probability of obtaining a test statistic at least as extreme
as the one that was actually observed, assuming that the null hypothesis is true.
http://en.wikipedia.org/wiki/P-value
(Overrides HypothesisTestPValue.) | ||||
| SignificanceLevel |
Significance level.
http://en.wikipedia.org/wiki/Statistical_significance
(Inherited from HypothesisTest.) | ||||
| SSE |
The sum of squared errors.
| ||||
| Statistic |
The statistic of KPSS test.
| ||||
| Statistics |
Test statistics.
http://en.wikipedia.org/wiki/Test_statistic
(Inherited from HypothesisTest.) |
Methods| Name | Description | |
|---|---|---|
 | Equals | Determines whether the specified object is equal to the current object. (Inherited from Object.) |
| GetHashCode | Serves as the default hash function. (Inherited from Object.) |
| GetType | Gets the Type of the current instance. (Inherited from Object.) |
| ToString | Returns a string that represents the current object. (Inherited from Object.) |
| Update(Double) | Updates test statistic using provided sample. (Inherited from OneSampleTest.) |
| Update(Vector) | Updates test statistic using provided sample. (Inherited from OneSampleTest.) |
| Update(Double, Int32, Int32) | Updates test statistic using provided sample. (Inherited from OneSampleTest.) |
See Also