Packages

abstract class UnitRoot extends AnyRef

The UnitRoot abstract class provides a common framework for various unit root testers for Time Series Stationarity. This code is translated from the C++ code found in

See also

github.com/olmallet81/URT.

Linear Supertypes
AnyRef, Any
Known Subclasses
KPSS_Stationarity
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Instance Constructors

  1. new UnitRoot(data: VectoD, lags: Int, trend: String)

    data

    the time series vector

    lags

    the number of lags to use

    trend

    type of trend to test for

Abstract Value Members

  1. abstract def statistic(): Double

    Compute test statistic.

Concrete Value Members

  1. final def !=(arg0: Any): Boolean
    Definition Classes
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  2. final def ##(): Int
    Definition Classes
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  3. final def ==(arg0: Any): Boolean
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  4. final def asInstanceOf[T0]: T0
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  5. def clone(): AnyRef
    Attributes
    protected[lang]
    Definition Classes
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    @throws( ... ) @native() @HotSpotIntrinsicCandidate()
  6. var coeff: HashMap[Double, HashMap[Int, VectorD]]
    Attributes
    protected
  7. final def eq(arg0: AnyRef): Boolean
    Definition Classes
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  8. def equals(arg0: Any): Boolean
    Definition Classes
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  9. final def getClass(): Class[_]
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    Annotations
    @native() @HotSpotIntrinsicCandidate()
  10. def getPval(): Double

    Get test pvalue.

  11. def getStat(): Double

    Get test statistic.

  12. def getTrends(): VectorS

    Get test valid trends.

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

    OLS demeaning or detrending.

    OLS demeaning or detrending.

    Attributes
    protected
  26. var pval: Double
    Attributes
    protected
  27. def pvalue(): Double

    Compute test statistic p-value.

  28. def setData(): Unit

    Reset 'y' to the original data.

    Reset 'y' to the original data.

    Attributes
    protected
  29. 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
  30. 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
  31. def setTrend(): Unit

    Set regression trend.

    Set regression trend.

    Attributes
    protected
  32. def show(): Unit

    Output test results (can be overridden by derived classes).

  33. var stat: Double
    Attributes
    protected
  34. final def synchronized[T0](arg0: ⇒ T0): T0
    Definition Classes
    AnyRef
  35. var testName: String
    Attributes
    protected
  36. def toString(): String
    Definition Classes
    AnyRef → Any
  37. var trend: String
  38. var validTrends: VectorS
    Attributes
    protected
  39. final def wait(arg0: Long, arg1: Int): Unit
    Definition Classes
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    @throws( ... )
  40. final def wait(arg0: Long): Unit
    Definition Classes
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    @throws( ... ) @native()
  41. final def wait(): Unit
    Definition Classes
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    @throws( ... )
  42. var y: VectoD
    Attributes
    protected

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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