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class KPSS_Stationarity 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_Stationarity(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_Stationarity(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_Stationarity(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[lang]
    Definition Classes
    AnyRef
    Annotations
    @throws( ... ) @native() @HotSpotIntrinsicCandidate()
  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. final def getClass(): Class[_]
    Definition Classes
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    @native() @HotSpotIntrinsicCandidate()
  12. def getPval(): Double

    Get test pvalue.

    Get test pvalue.

    Definition Classes
    UnitRoot
  13. def getStat(): Double

    Get test statistic.

    Get test statistic.

    Definition Classes
    UnitRoot
  14. def getTrends(): VectorS

    Get test valid trends.

    Get test valid trends.

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

    OLS demeaning or detrending.

    OLS demeaning or detrending.

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

    Compute test statistic p-value.

    Compute test statistic p-value.

    Definition Classes
    KPSS_StationarityUnitRoot
  30. def setData(): Unit

    Reset 'y' to the original data.

    Reset 'y' to the original data.

    Attributes
    protected
    Definition Classes
    UnitRoot
  31. 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
  32. 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
  33. def setTrend(): Unit

    Set regression trend.

    Set regression trend.

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

    Output test results.

    Output test results.

    Definition Classes
    KPSS_StationarityUnitRoot
  35. var stat: Double
    Attributes
    protected
    Definition Classes
    UnitRoot
  36. def statistic(): Double

    Compute KPSS test statistic.

    Compute KPSS test statistic.

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

Deprecated Value Members

  1. def finalize(): Unit
    Attributes
    protected[lang]
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    @throws( classOf[java.lang.Throwable] ) @Deprecated
    Deprecated

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