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.
- Alphabetic
- By Inheritance
- KPSS_Stationarity
- UnitRoot
- AnyRef
- Any
- Hide All
- Show All
- Public
- All
Instance Constructors
-
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
-
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
-
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
-
final
def
!=(arg0: Any): Boolean
- Definition Classes
- AnyRef → Any
-
final
def
##(): Int
- Definition Classes
- AnyRef → Any
-
final
def
==(arg0: Any): Boolean
- Definition Classes
- AnyRef → Any
-
final
def
asInstanceOf[T0]: T0
- Definition Classes
- Any
-
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.
-
def
clone(): AnyRef
- Attributes
- protected[lang]
- Definition Classes
- AnyRef
- Annotations
- @throws( ... ) @native() @HotSpotIntrinsicCandidate()
-
var
coeff: HashMap[Double, HashMap[Int, VectorD]]
- Attributes
- protected
- Definition Classes
- UnitRoot
-
def
computeStat(): Unit
Computes test statistics.
-
final
def
eq(arg0: AnyRef): Boolean
- Definition Classes
- AnyRef
-
def
equals(arg0: Any): Boolean
- Definition Classes
- AnyRef → Any
-
final
def
getClass(): Class[_]
- Definition Classes
- AnyRef → Any
- Annotations
- @native() @HotSpotIntrinsicCandidate()
-
def
getPval(): Double
Get test pvalue.
Get test pvalue.
- Definition Classes
- UnitRoot
-
def
getStat(): Double
Get test statistic.
Get test statistic.
- Definition Classes
- UnitRoot
-
def
getTrends(): VectorS
Get test valid trends.
Get test valid trends.
- Definition Classes
- UnitRoot
-
def
hashCode(): Int
- Definition Classes
- AnyRef → Any
- Annotations
- @native() @HotSpotIntrinsicCandidate()
-
final
def
isInstanceOf[T0]: Boolean
- Definition Classes
- Any
-
var
lags: Int
- Definition Classes
- UnitRoot
-
var
lagsType: String
- Attributes
- protected
- Definition Classes
- UnitRoot
-
var
maxLags: Int
- Attributes
- protected
- Definition Classes
- UnitRoot
-
final
def
ne(arg0: AnyRef): Boolean
- Definition Classes
- AnyRef
-
var
newLags: Boolean
- Attributes
- protected
- Definition Classes
- UnitRoot
-
var
newTrend: Boolean
- Attributes
- protected
- Definition Classes
- UnitRoot
-
var
nobs: Int
- Attributes
- protected
- Definition Classes
- UnitRoot
-
final
def
notify(): Unit
- Definition Classes
- AnyRef
- Annotations
- @native() @HotSpotIntrinsicCandidate()
-
final
def
notifyAll(): Unit
- Definition Classes
- AnyRef
- Annotations
- @native() @HotSpotIntrinsicCandidate()
-
var
npar: Int
- Attributes
- protected
- Definition Classes
- UnitRoot
-
def
olsDetrend(): Unit
OLS demeaning or detrending.
OLS demeaning or detrending.
- Attributes
- protected
- Definition Classes
- UnitRoot
-
var
pval: Double
- Attributes
- protected
- Definition Classes
- UnitRoot
-
def
pvalue(): Double
Compute test statistic p-value.
Compute test statistic p-value.
- Definition Classes
- KPSS_Stationarity → UnitRoot
-
def
setData(): Unit
Reset 'y' to the original data.
Reset 'y' to the original data.
- Attributes
- protected
- Definition Classes
- UnitRoot
-
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
-
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
-
def
setTrend(): Unit
Set regression trend.
Set regression trend.
- Attributes
- protected
- Definition Classes
- UnitRoot
-
def
show(): Unit
Output test results.
Output test results.
- Definition Classes
- KPSS_Stationarity → UnitRoot
-
var
stat: Double
- Attributes
- protected
- Definition Classes
- UnitRoot
-
def
statistic(): Double
Compute KPSS test statistic.
Compute KPSS test statistic.
- Definition Classes
- KPSS_Stationarity → UnitRoot
-
final
def
synchronized[T0](arg0: ⇒ T0): T0
- Definition Classes
- AnyRef
-
var
testName: String
- Attributes
- protected
- Definition Classes
- UnitRoot
-
def
toString(): String
- Definition Classes
- AnyRef → Any
-
var
trend: String
- Definition Classes
- UnitRoot
-
var
validTrends: VectorS
- Attributes
- protected
- Definition Classes
- UnitRoot
-
final
def
wait(arg0: Long, arg1: Int): Unit
- Definition Classes
- AnyRef
- Annotations
- @throws( ... )
-
final
def
wait(arg0: Long): Unit
- Definition Classes
- AnyRef
- Annotations
- @throws( ... ) @native()
-
final
def
wait(): Unit
- Definition Classes
- AnyRef
- Annotations
- @throws( ... )
-
var
y: VectoD
- Attributes
- protected
- Definition Classes
- UnitRoot
Deprecated Value Members
-
def
finalize(): Unit
- Attributes
- protected[lang]
- Definition Classes
- AnyRef
- Annotations
- @throws( classOf[java.lang.Throwable] ) @Deprecated
- Deprecated