ISmDickeyFullerGLSTest.DFGLSStat

Syntax

Description

The DFGLSStat property returns value of the statistics of Dickey-Fuller generalized test.

Comments

To get summary statistics, use the ISmDickeyFullerGLSTest.SummaryStatistics property.

Example

To execute the example, add a link to the Stat system assembly.

Sub UserProc;
Var
    DFGLS: SmDickeyFullerGLSTest;
    DFGLSASS: IAutomaticLagSelectionSettings;
    SumStat: ISummaryStatistics;
    can {, ws} : Array[43] Of Double;
    i, res: Integer;
Begin
    DFGLS := New SmDickeyFullerGLSTest.Create;
    // Set values of variables
    can[0] := 6209; can[1] := 6385; can[2] := 6752; can[3] := Double.Nan; can[4] := 6495;
    can[5] := Double.Nan; 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;
    // Sample period
    DFGLS.ModelPeriod.FirstPoint := 1;
    DFGLS.ModelPeriod.LastPoint := 43;
    // Select tested series
    DFGLS.Serie.Value := can;
    // Method of missing data treatment
    DFGLS.MissingData.Method := MissingDataMethod.LinTrend;
    // Model type
    DFGLS.Equation := EquationType.Constant;
    // Lag autoselection is applied
    DFGLS.UseAutomaticAROrderSelection := True;
    // Lag autoselection parameters
    DFGLSASS := DFGLS.AutomaticAROrderSelectionSettings;
    DFGLSASS.InformationCriterion := InformationCriterionType.Akaike;
    DFGLSASS.MaxLagLength := 9;
    // Type of tested series
    DFGLS.TestedSeries := ADFTestedSeriesType.Level;
    res := DFGLS.Execute;
    For i := 0 To DFGLS.WarningsCount - 1 Do
        Debug.WriteLine(DFGLS.Warnings[i]);
    End For;
    SumStat := DFGLS.SummaryStatistics;
    If (res = 0) Then
        Debug.WriteLine("===Dickey-Fuller generalized test statistic===");
        Debug.WriteLine("Statistics value: " + DFGLS.DFGLSStat.Statistics.ToString);
        Debug.WriteLine("Probability value: " + DFGLS.DFGLSStat.Probability.ToString);
        Debug.WriteLine("Critical values: ");
        Debug.Indent;
        For i := 0 To DFGLS.DFGLSStat.CriticalValues.Length - 1 Do
            Debug.Write(i.ToString + " ");
            Debug.WriteLine(DFGLS.DFGLSStat.CriticalValues[i]);
        End For;
        Debug.Unindent;
        Debug.WriteLine("===Auxiliary regression===");
        Debug.WriteLine("Auxiliary regression coefficients");
        Debug.Indent;
        For i := 0 To DFGLS.ModelCoefficients.Estimate.Length - 1 Do
            Debug.Write(i.ToString + " ");
            Debug.WriteLine(DFGLS.ModelCoefficients.Estimate[i]);
        End For;
        Debug.Unindent;
        Debug.WriteLine("Descriptive characteristics of auxiliary regression");
        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(DFGLS.Errors);
    End If;
End Sub UserProc;

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