Packages

class KPSS extends UnitRoot

The KPSS class provides capabilities of performing KPSS test to determine if a time series is stationary around a deterministic trend. This code is translated from the C++ code found in

See also

github.com/olmallet81/URT.

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Instance Constructors

  1. new KPSS(data_: VectoD, lagsType_: String, trend_: String)

    Alternative constructor that only provides the type of lags.

    Alternative constructor that only provides the type of lags.

    data_

    the time series vector

    lagsType_

    type of lags, long or short

    trend_

    type of trend to test for

  2. new KPSS(data_: VectoD, lags_: Int, trend_: String)

    Alternative constructor that only provides the number of lags.

    Alternative constructor that only provides the number of lags.

    data_

    the time series vector

    lags_

    the number of lags to use

    trend_

    type of trend to test for

  3. new KPSS(data_: VectoD, lags_: Int, lagsType_: String, trend_: String = "c")

    data_

    the time series vector

    lags_

    the number of lags to use

    lagsType_

    type of lags, long or short

    trend_

    type of trend to test for

Value Members

  1. final def !=(arg0: Any): Boolean
    Definition Classes
    AnyRef → Any
  2. final def ##(): Int
    Definition Classes
    AnyRef → Any
  3. final def ==(arg0: Any): Boolean
    Definition Classes
    AnyRef → Any
  4. final def asInstanceOf[T0]: T0
    Definition Classes
    Any
  5. def canReject(alpha: Double = 0.05): Boolean

    Check to see if H0 can be rejected.

    Check to see if H0 can be rejected. Must call pvalue first to compute pval.

  6. def clone(): AnyRef
    Attributes
    protected[java.lang]
    Definition Classes
    AnyRef
    Annotations
    @native() @throws( ... )
  7. var coeff: HashMap[Double, HashMap[Int, VectorD]]
    Attributes
    protected
    Definition Classes
    UnitRoot
  8. def computeStat(): Unit

    Computes test statistics.

  9. final def eq(arg0: AnyRef): Boolean
    Definition Classes
    AnyRef
  10. def equals(arg0: Any): Boolean
    Definition Classes
    AnyRef → Any
  11. def finalize(): Unit
    Attributes
    protected[java.lang]
    Definition Classes
    AnyRef
    Annotations
    @throws( classOf[java.lang.Throwable] )
  12. final def getClass(): Class[_]
    Definition Classes
    AnyRef → Any
    Annotations
    @native()
  13. def getPval(): Double

    Get test pvalue.

    Get test pvalue.

    Definition Classes
    UnitRoot
  14. def getStat(): Double

    Get test statistic.

    Get test statistic.

    Definition Classes
    UnitRoot
  15. def getTrends(): VectorS

    Get test valid trends.

    Get test valid trends.

    Definition Classes
    UnitRoot
  16. def hashCode(): Int
    Definition Classes
    AnyRef → Any
    Annotations
    @native()
  17. final def isInstanceOf[T0]: Boolean
    Definition Classes
    Any
  18. var lags: Int
    Definition Classes
    UnitRoot
  19. var lagsType: String
    Attributes
    protected
    Definition Classes
    UnitRoot
  20. var maxLags: Int
    Attributes
    protected
    Definition Classes
    UnitRoot
  21. final def ne(arg0: AnyRef): Boolean
    Definition Classes
    AnyRef
  22. var newLags: Boolean
    Attributes
    protected
    Definition Classes
    UnitRoot
  23. var newTrend: Boolean
    Attributes
    protected
    Definition Classes
    UnitRoot
  24. var nobs: Int
    Attributes
    protected
    Definition Classes
    UnitRoot
  25. final def notify(): Unit
    Definition Classes
    AnyRef
    Annotations
    @native()
  26. final def notifyAll(): Unit
    Definition Classes
    AnyRef
    Annotations
    @native()
  27. var npar: Int
    Attributes
    protected
    Definition Classes
    UnitRoot
  28. def olsDetrend(): Unit

    OLS demeaning or detrending.

    OLS demeaning or detrending.

    Attributes
    protected
    Definition Classes
    UnitRoot
  29. var pval: Double
    Attributes
    protected
    Definition Classes
    UnitRoot
  30. def pvalue(): Double

    Compute test statistic p-value.

    Compute test statistic p-value.

    Definition Classes
    KPSS → UnitRoot
  31. def setData(): Unit

    Reset 'y' to the original data.

    Reset 'y' to the original data.

    Attributes
    protected
    Definition Classes
    UnitRoot
  32. def setLags(): Unit

    Set number of lags, checking input validity.

    Set number of lags, checking input validity. This method needs to know optim so it needs to be run after set_method ().

    Attributes
    protected
    Definition Classes
    UnitRoot
  33. def setLagsType(): Unit

    Set lags type long or short for PP and KPSS default lags value or ADF and DFGLS default maxlags value.

    Set lags type long or short for PP and KPSS default lags value or ADF and DFGLS default maxlags value.

    Attributes
    protected
    Definition Classes
    UnitRoot
  34. def setTrend(): Unit

    Set regression trend.

    Set regression trend.

    Attributes
    protected
    Definition Classes
    UnitRoot
  35. def show(): Unit

    Output test results.

    Output test results.

    Definition Classes
    KPSS → UnitRoot
  36. var stat: Double
    Attributes
    protected
    Definition Classes
    UnitRoot
  37. def statistic(): Double

    Compute KPSS test statistic.

    Compute KPSS test statistic.

    Definition Classes
    KPSS → UnitRoot
  38. final def synchronized[T0](arg0: ⇒ T0): T0
    Definition Classes
    AnyRef
  39. var testName: String
    Attributes
    protected
    Definition Classes
    UnitRoot
  40. def toString(): String
    Definition Classes
    AnyRef → Any
  41. var trend: String
    Definition Classes
    UnitRoot
  42. var validTrends: VectorS
    Attributes
    protected
    Definition Classes
    UnitRoot
  43. final def wait(): Unit
    Definition Classes
    AnyRef
    Annotations
    @throws( ... )
  44. final def wait(arg0: Long, arg1: Int): Unit
    Definition Classes
    AnyRef
    Annotations
    @throws( ... )
  45. final def wait(arg0: Long): Unit
    Definition Classes
    AnyRef
    Annotations
    @native() @throws( ... )
  46. var y: VectoD
    Attributes
    protected
    Definition Classes
    UnitRoot

Inherited from UnitRoot

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