Intercept: ISlConstCoefficients;
The Intercept property returns model constant parameters. Constant values will be calculated only if one of the following types was selected for the considered equation: Equation with a constant, or Equation with a constant and a trend (EquationType: ADFEquationType).
The property is outdated. Use ISmAugmentDickeyFullerTest.ModelCoefficients.
Sub Main;
Var
ADF: SmAugmentDickeyFullerTest;
d0: Double;
res: Integer;
Sub Print(Data: Array Of Double);
Var
i: Integer;
CI: ICultureInfo;
Begin
CI := CultureInfo.Current;
Debug.WriteLine("---Begin---");
For i := 0 To Data.Length - 1 Do
If Double.IsNan(Data[i]) Then
Debug.WriteLine("---empty---");
Else
Debug.WriteLine(i.ToString + ", " + CI.FormatDoublePrec(Data[i], 4));
End If;
End For;
Debug.WriteLine("---End---");
End Sub Print;
Begin
ADF := New SmAugmentDickeyFullerTest.Create;
can := New Double[16];
//values can
can[00] := 6209;
can[01] := 6385;
can[02] := 6752;
can[03] := 6837;
can[04] := 6495;
can[05] := 6907;
can[06] := 7349;
can[07] := 7213;
can[08] := 7061;
can[09] := 7180;
can[10] := 7132;
can[11] := 7137;
can[12] := 7473;
can[13] := 7722;
can[14] := 8088;
can[15] := 8516;
ADF.Serie.Value := can;
ADF.ModelPeriod.FirstPoint := 1;
ADF.ModelPeriod.LastPoint := 16;
ADF.EquationType := ADFEquationType.ConstantTrend;
ADF.TestedSeries := ADFTestedSeriesType.Level;
ADF.AutoRegressionOrder := 2;
res := ADF.Execute;
If res <> 0 Then
Debug.WriteLine(ADF.Errors);
Else
Debug.WriteLine("== Critical values ==");
Print(ADF.CriticalValues);
Debug.WriteLine("== Constant ==");
d0 := ADF.Intercept.Estimate;
Debug.WriteLine("estimate: " + d0.ToString);
d0 := ADF.Intercept.Probability;
Debug.WriteLine("probability: " + d0.ToString);
d0 := ADF.Intercept.StandardError;
Debug.WriteLine("standard error: " + d0.ToString);
d0 := ADF.Intercept.TStatistic;
Debug.WriteLine("t-statistic: " + d0.ToString);
Debug.WriteLine("== Trend ==");
d0 := ADF.Trend.Estimate;
Debug.WriteLine("values: " + d0.ToString);
d0 := ADF.Trend.Probability;
Debug.WriteLine("probability: " + d0.ToString);
d0 := ADF.Trend.StandardError;
Debug.WriteLine("standard error: " + d0.ToString);
d0 := ADF.Trend.TStatistic;
Debug.WriteLine("t-statistic: " + d0.ToString);
End If;
End Sub Main;
After executing the example the console window displays results of test calculation:
Module execution started
== Critical values ==
---Begin---
0, -4.5348
1, -3.6746
2, -3.2762
---End---
== Constant ==
estimate: 1191.598892266572
probability: 0.77786692401086532
standard error: 4083.6863637104693
t-statistic: 0.29179490933869756
== Trend ==
values: 43.355116764399035
propbability: 0.48780357187548529
standard error: 59.614733021498303
t-statistic: 0.72725506878919155
Module execution finished
See also: