ISmAugmentDickeyFullerTest.AutoRegressionOrder

Syntax

AutoRegressionOrder: Integer;

Description

The AutoRegressionOrder property determines autoregression order.

Comments

Autoregression order value must be greater than zero.

Example

Sub UserProc;
Var
    ADF: SmAugmentDickeyFullerTest;
    ADFASS: IAutomaticLagSelectionSettings;
    SumStat: ISummaryStatistics;
    i, res: Integer;
    can: Array[43] Of Double;
Begin
    ADF := New SmAugmentDickeyFullerTest.Create;
    // Set values fornbsp;variables
    can[0] := 6209; can[1] := 6385; can[2] := Double.Nan; can[3] := 6837; can[4] := 6495;
    can[5] := 6907; can[6] := 7349; can[7] := 7213; can[8] := 7061; can[9] := 7180;
    can[10] := 7132; can[11] := 7137; can[12] := 7473; can[13] := 7722; can[14] := 8088;
    can[15] := 8516; can[16] := 8941; can[17] := 9064; can[18] := 9380; can[19] := 9746;
    can[20] := 9907; can[21] := 10333; can[22] := 10863; can[23] := 11693; can[24] := 12242;
    can[25] := 12227; can[26] := 12910; can[27] := 13049; can[28] := 13384; can[29] := 14036;
    can[30] := 14242; can[31] := 14704; can[32] := 13802; can[33] := 14197; can[34] := 15010;
    can[35] := 15589; can[36] := 15932; can[37] := 16631; can[38] := 17394; can[39] := 17758;
    can[40] := 17308; can[41] := 16444; can[42] := 16413;
    // Tested data series
    ADF.Serie.Value := can;
    // Method of missing data treatment
    ADF.MissingData.Method := MissingDataMethod.LinTrend;
    // Sample period
    ADF.ModelPeriod.FirstPoint := 1;
    ADF.ModelPeriod.LastPoint := 43;
    // Model specification
    ADF.EquationType := ADFEquationType.ConstantTrend;
    // Lag autoselection is applied
    ADF.UseAutomaticAROrderSelection := False;
    // Autoregression order
    ADF.AutoRegressionOrder := 9;
    //  Lag autoselection parameters
    ADFASS := ADF.AutomaticAROrderSelectionSettings;
    ADFASS.InformationCriterion := InformationCriterionType.Akaike;
    ADFASS.MaxLagLength := 9;
    // Type of tested lag
    ADF.TestedSeries := ADFTestedSeriesType.Level;
    res := ADF.Execute;
    If res = 0 Then
        Debug.WriteLine("===Auxiliary regression===");
        Debug.WriteLine("Auxiliary regression coefficients");
        Debug.Indent;
        For i := 0 To ADF.ModelCoefficients.Estimate.Length - 1 Do
            Debug.Write(i.ToString + " ");
            Debug.WriteLine(ADF.ModelCoefficients.Estimate[i]);
        End For;
        Debug.Unindent;
        Debug.WriteLine("Descriptive characteristics of auxiliary regression");
        SumStat := ADF.SummaryStatistics;
        Debug.Indent;
        Debug.WriteLine("Determination coefficient: " + SumStat.R2.ToString);
        Debug.WriteLine("Adjusted determination coefficient: " + SumStat.AdjR2.ToString);
        Debug.WriteLine("Akaike information criterion: " + SumStat.AIC.ToString);
        Debug.Unindent;
        Else
            Debug.WriteLine(ADF.Errors);
    End If;
End Sub UserProc;

After executing the example the console window shows calculation results for the augmented Dickey-Fuller test.