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
- 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
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- 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.
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- @throws(classOf[java.lang.CloneNotSupportedException]) @native() @HotSpotIntrinsicCandidate()
- var coeff: HashMap[Double, HashMap[Int, VectorD]]
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- def computeStat(): Unit
Computes test statistics.
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- def getPval(): Double
Get test pvalue.
Get test pvalue.
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- UnitRoot
- def getStat(): Double
Get test statistic.
Get test statistic.
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- UnitRoot
- def getTrends(): VectorS
Get test valid trends.
Get test valid trends.
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- def hashCode(): Int
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- var lags: Int
- Definition Classes
- UnitRoot
- var lagsType: String
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- UnitRoot
- var maxLags: Int
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- UnitRoot
- final def ne(arg0: AnyRef): Boolean
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- var newLags: Boolean
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- UnitRoot
- var newTrend: Boolean
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- UnitRoot
- var nobs: Int
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- UnitRoot
- final def notify(): Unit
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- var npar: Int
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- UnitRoot
- def olsDetrend(): Unit
OLS demeaning or detrending.
OLS demeaning or detrending.
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- protected
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- UnitRoot
- var pval: Double
- Attributes
- protected
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- 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
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- 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 ().
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- 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
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- Definition Classes
- UnitRoot
- def setTrend(): Unit
Set regression trend.
Set regression trend.
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- protected
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- UnitRoot
- def show(): Unit
Output test results.
Output test results.
- Definition Classes
- KPSS_Stationarity → UnitRoot
- var stat: Double
- Attributes
- protected
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- UnitRoot
- def statistic(): Double
Compute KPSS test statistic.
Compute KPSS test statistic.
- Definition Classes
- KPSS_Stationarity → UnitRoot
- final def synchronized[T0](arg0: => T0): T0
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- var testName: String
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- def toString(): String
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- var trend: String
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- UnitRoot
- var validTrends: VectorS
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- UnitRoot
- final def wait(arg0: Long, arg1: Int): Unit
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- final def wait(): Unit
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- var y: VectoD
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Deprecated Value Members
- def finalize(): Unit
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