scalation/scalation/scalation.modeling/scalation.modeling.forecasting/UnitRoot

UnitRoot

scalation.modeling.forecasting.UnitRoot

trait UnitRoot(val testName: String, val nobs: Int, val validTrends: VectorS, var lagsType: String, var lags: Int, var trend: String)

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

Value parameters

lags: the number of lags to use
lagsType: default lags value long or short time-series
nobs: the number of observations (length of time-series)
testName: the name of test, e.g., KPSS
trend: type of trend to test for
validTrends: vector of test valid trends types, e.g., constant, linear trend

Attributes

See also: github.com/olmallet81/URT.
Graph
Supertypes: class Object

trait Matchable

class Any
Known subtypes: class Stationarity_KPSS

Members list

Visibility

public
protected

Value members

Abstract methods

Compute test statistic.

Attributes

Concrete methods

Get test pvalue.

Attributes

Get test valid trends.

Attributes

Compute test statistic p-value.

Attributes

Reset the values for lags for trend.

Value parameters

lags: the number of lags to use
trend: type of trend to test for

Attributes

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

Attributes

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

Attributes

Set regression trend.

Attributes

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

Attributes

Concrete fields

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