mvgc_adf (EXPERIMENTAL)
Augmented Dickey-Fuller unit root stationarity test
Syntax
[tstat,cval] = mvgc_adf(X,alpha,q,pdeg)
Arguments
See also Common variable names and data structures.
input
X multi-trial time series data
alpha significance level
q number of lags; default: sqrt(number of observations)
pdeg time trend polynomial degree; may be
-1 : no deterministic part
0 : for constant term (default)
1 : for constant plus time-trend
> 1 : for higher order polynomial (must be <= 5)output
tstat matrix of ADF test statistics cval ADF test critical value
Description
Calculates the Augmented Dickey-Fuller q-lag unit root t-test statistics tstat and critical value cval for a (possibly multi-trial) multivariate time series X at significance level alpha [1]. The time trend polynomial degree pdeg may take values between -1 and 5 (see output arguments above). The returned test statistics matrix tstat is N x n for N trials of an n-variate time series.
Note: Adapted from code written by James P. LeSage, modelled after a similar Gauss routine in a package called COINT.
References
[1] S. E. Said and D. A. Dickey, "Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order", Biometrika 71(3), 1984.