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# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
# Copyrights (C)
# for this R-port:
# 1999 - 2007, Diethelm Wuertz, GPL
# Diethelm Wuertz <wuertz@itp.phys.ethz.ch>
# info@rmetrics.org
# www.rmetrics.org
# for the code accessed (or partly included) from other R-ports:
# see R's copyright and license files
# for the code accessed (or partly included) from contributed R-ports
# and other sources
# see Rmetrics's copyright file
################################################################################
# FUNCTION: ADF TESTS:
# adfTest ADF unit root test using Banarjee's test statistics
# unitrootTest ADF unit root test using McKinnon's test statistics
################################################################################
pvalue =
function(object)
{ # A function implemented by Diethelm Wuertz
# FUNCTION:
# Return Value:
UseMethod("pvalue")
}
# ------------------------------------------------------------------------------
pvalue.fHTEST =
function(object)
{ # A function implemented by Diethelm Wuertz
# FUNCTION:
# p Value:
pValue = object@test$p.value
pNames = names(pValue)
for (i in 1:length(pValue)) {
if (is.null(pNames[i]) || pNames[i] == "") pNames[i] = "p.value"
}
names(pValue)<-pNames
# Return Value:
pValue
}
################################################################################
test.adfTest =
function()
{
# A time series which contains no unit-root:
RNGkind(kind = "Marsaglia-Multicarry", normal.kind = "Inversion")
set.seed(4711, kind = "Marsaglia-Multicarry")
x = rnorm(1000)
# A time series which contains a unit-root:
y = cumsum(c(0, x))
# Test x:
A = adfTest(x)
print(A)
target = round(pvalue(A), 3)
print(target)
current = 0.010
checkEqualsNumeric(target, current)
# Test x:
B = adfTest(y)
print(B)
target = round(pvalue(B), 3)
print(target)
current = 0.018
checkEqualsNumeric(target, current)
# Return Value:
return()
}
# ------------------------------------------------------------------------------
test.unitrootTest =
function()
{
# A time series which contains no unit-root:
RNGkind(kind = "Marsaglia-Multicarry", normal.kind = "Inversion")
set.seed(4711, kind = "Marsaglia-Multicarry")
x = rnorm(1000)
# A time series which contains a unit-root:
y = cumsum(c(0, x))
# Test x:
A = unitrootTest(x)
print(A)
target = pvalue(A)[1]
print(target)
current = 0.001
checkTrue(target < current)
target = pvalue(A)[2]
print(target)
current = 0.001
checkTrue(target < current)
# Test x:
B = unitrootTest(y)
print(B)
target = pvalue(B)[1]
print(target)
current = 0.01
checkTrue(target > current)
target = pvalue(B)[2]
print(target)
current = 0.01
checkTrue(target > current)
# Return Value:
return()
}
################################################################################
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