models: Models

In mlincon/pvurt: P-value for augmented Dickey-Fuller unit root test

Description

Models for approximating p-value.

Usage

woTD_poly3(t, n)

woTD_poly4(t, n)

woTD_poly5(t, n)

woTD_poly6(t, n)

woTD_gam(t, n)

wD_poly3(t, n)

wD_poly4(t, n)

wD_poly5(t, n)

wD_poly6(t, n)

wD_gam(t, n)

wTD_poly3(t, n)

wTD_poly4(t, n)

wTD_poly5(t, n)

wTD_poly6(t, n)

wTD_gam(t, n)

Arguments

t	Test statistics
n	Sample size

Details

These are the functions based on polynomial regression and GAM to approximate the p-value for ADF unit root tests of three types: without drift and trend (woTD), with drift (wD) and with both drift and trend (wTD).

Value

p-value from the ADF test statistic distributions.

mlincon/pvurt documentation built on June 8, 2021, 4:14 p.m.