IMsMetaModelVisualController.DFTest

Syntax

Description

The DFTest property returns parameters of calculation of the augmented Dickey-Fuller test.

Comments

To set calculation options, use the IMsDFTestSettings interface.

Example

Executing the example requires that the repository contains a modeling container with the MS identifier, containing a modeling problem with the MODEL_DFTEST_WEB identifier. The problem must be created in the web application and contain several variables.

Add links to the Dimensions, Metabase, Ms, Stat, Transform system assemblies.

Sub DFTest;
Var
    mb: IMetabase;
    msKey: Integer;
    Problem: IMsProblem;
    Meta: IMsMetaModel;
    MetaVisual: IMsMetaModelVisualController;
    Test: IMsVariableTest;
    CommonSett: IMsVariableTestSettings;
    InclSrc: IMsVariableTestDataList;
    VarArray: Array;
    i, j: Integer;
    Slice: IMsFormulaTransformSlice;
    TestData: IMsVariableTestData;
    DF: IMsDFTestSettings;
    TestRes: IMsVariableTestResults;
    Res: Array;
Begin
    mb := MetabaseClass.Active;
    // Get modelling container key
    msKey := mb.GetObjectKeyById("MS");
    // Get modeling problem
    Problem := mb.ItemByIdNamespace("MODEL_DFTEST_WEB", msKey).Edit As IMsProblem;
    // Get metamodel
    Meta := Problem.MetaModel;
    MetaVisual := Meta.VisualController;
    // Set common parameters of calculating the descriptive statistics
    Test := MetaVisual.DFTest;
    CommonSett := Test.Settings;
    // Calculation period
    CommonSett.StartDate := DateTime.Parse("01.01.1990");
    CommonSett.EndDate := DateTime.Parse("01.01.2015");
    // Method of missing data treatment
    CommonSett.MissingData.Method := MissingDataMethod.LinTrend;
    // Set variables for calculation
    VarArray := MetaVisual.GetVariables;
    InclSrc := CommonSett.IncludedSources;
    InclSrc.Clear;
    Debug.WriteLine("Tested variables");
    Debug.WriteLine("");
    For i := 0 To VarArray.Length - 1 Do
        // Add only variables with annual frequency
        Slice := VarArray[i] As IMsFormulaTransformSlice;
        If Slice.Level = DimCalendarLevel.Year Then
            TestData := InclSrc.Add(Slice);
            // Specify lag and transformation of the first variable
            If i = 0 Then
                TestData.Lag := "1";
                TestData.InversionInfo.Inversion := TsInversion.Log;
            End If;
            // Display the information about the variable in the console window
            Debug.WriteLine("Original name of variable: " + TestData.Slice.Name);
            Debug.WriteLine("name of the variable considering transformations and lag: " + TestData.Name);
            Debug.WriteLine("Variable key: " + TestData.EntryKey.ToString);
            Debug.WriteLine("");
        End If;
    End For;
    // Set calculation parameters of the Dickey-Fuller test
    DF := CommonSett As IMsDFTestSettings;
    // Determinenbsp;autoregressionnbsp;order
    DF.AutoRegressionOrder := 1;
    // Set the parameters of differentiation of the series
    DF.TestedSeries := ADFTestedSeriesType.FirstDifference;
    // Set the model type
    DF.EquationType := ADFEquationType.ConstantTrend;
    // Check if test can be calculated by means of R package
    If DF.SupportsR
        Then
            DF.UseR := True;
            Debug.WriteLine("Test is calculated by means of connection to R");
        Else
            Debug.WriteLine("Test does not support calculation by means of R");
    End If;
    Debug.WriteLine("");
    // Perform calculation of the test
    TestRes := Test.Execute;
    // Output results
    If TestRes.Error <> "" Then
        Debug.WriteLine(TestRes.Error);
    Else
        Res := TestRes.ResValueMatrix;
        Debug.WriteLine("Augmented Dickey-Fuller test");
        Debug.WriteLine("");
        For i := 0 To Res.GetUpperBound(1) Do
            Select Case i
                Case 0: Debug.Write("Variables:     ");
                Case 1: Debug.Write("ADF statistic: ");
                Case 2: Debug.Write("1% significance:  ");
                Case 3: Debug.Write("5% of significance:  ");
                Case 4: Debug.Write("10% of significance: ");
                Case 5: Debug.Write("Stationarity: ");
                Case 6: Debug.Write("Error:         ");
            End Select;
            For j := 0 To Res.GetUpperBound(2) Do
                Debug.Write(Res[i, j]); Debug.Write(";    ");
            End For;
            Debug.WriteLine("");
        End For;
    End If;
End Sub DFTest;

Example execution result: the augmented Dickey-Fuller test is calculated for all variables of the annual frequency contained in the metamodel calculation chain using R package. The results are displayed in the console window.