ISmEngleGrangerTest.AutomaticAROrderSelectionSettings

Syntax

AutomaticAROrderSelectionSettings: IAutomaticLagSelectionSettings;

Description

The AutomaticAROrderSelectionSettings property returns parameters of lag autoselection.

Comments

To determine whether the lag autoselection is applied, use the ISmEngleGrangerTest.UseAutomaticAROrderSelection property.

Example

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

Sub UserProc;
Var
    eg: SmEngleGrangerTest;
    can, fra, ger: Array[36] Of Double;
    res, i: Integer;
Begin
    eg := New SmEngleGrangerTest.Create;

     // Values of variables:
    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] := Double.Nan;
    can[12] := 7473;    can[13] := 7722;    can[14] := 8088;    can[15] := Double.Nan;
    can[16] := 8941;    can[17] := 9064;    can[18] := 9380;    can[19] := 9746;
    can[20] := 9907;    can[21] := 10333;   can[22] := 10863;   can[23] := Double.Nan;
    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;
    fra[00] := 4110;    fra[01] := 4280;    fra[02] := 4459;    fra[03] := 4545;
    fra[04] := 4664;    fra[05] := 4861;    fra[06] := 5195;    fra[07] := 5389;
    fra[08] := 5463;    fra[09] := 5610;    fra[10] := 5948;    fra[11] := 6218;

    fra[12] := 6521;    fra[13] := 6788;    fra[14] := 7222;    fra[15] := 7486;
    fra[16] := 7832;    fra[17] := 8153;    fra[18] := 8468;    fra[19] := 9054;
    fra[20] := 9499;    fra[21] := 9866;    fra[22] := 10217;   fra[23] := 10763;
    fra[24] := 10683;   fra[25] := 10494;   fra[26] := 10938;   fra[27] := 11198;
    fra[28] := 11546;   fra[29] := 11865;   fra[30] := 11781;   fra[31] := 11681;
    fra[32] := 11903;   fra[33] := 11900;   fra[34] := 11986;   fra[35] := 12206;

    ger[00] := 3415;    ger[01] := 3673;    ger[02] := 4013;    ger[03] := 4278;
    ger[04] := 4577;    ger[05] := 5135;    ger[06] := 5388;    ger[07] := 5610;
    ger[08] := 5787;    ger[09] := 6181;    ger[10] := 6633;    ger[11] := 6910;
    ger[12] := 7146;    ger[13] := 7248;    ger[14] := 7689;    ger[15] := 8046;
    ger[16] := 8143;    ger[17] := 8064;    ger[18] := 8556;    ger[19] := 9177;

    ger[20] := 9705;    ger[21] := 9923;    ger[22] := 10268;   ger[23] := 10681;
    ger[24] := 10448;   ger[25] := 10366;   ger[26] := 10958;   ger[27] := 11292;
    ger[28] := 11726;   ger[29] := 12172;   ger[30] := 12058;   ger[31] := 11804;
    ger[32] := 11682;   ger[33] := 12001;   ger[34] := 12300;   ger[35] := 12535;
     // Sample period:
    eg.ModelPeriod.FirstPoint := 1;
    eg.ModelPeriod.LastPoint := 35;
     // Explained series:
    eg.Explained.Value := can;

     // Cointegration regressors:
    eg.CointegratingRegressors.Clear;
    eg.CointegratingRegressors.Add.Value := ger;
     // Determinate regressors:
    eg.DeterministicRegressors.Clear;
    eg.DeterministicRegressors.Add.Value := fra;

     // Missing data treatment:
    eg.MissingData.Method := MissingDataMethod.Casewise;
     // Trend specification:
    eg.TrendSpecification := TrendSpecificationType.LinearNone;

     // Lag autoselection:
    eg.UseAutomaticAROrderSelection := True;
    eg.AutomaticAROrderSelectionSettings.InformationCriterion := InformationCriterionType.Akaike;
    eg.AutomaticAROrderSelectionSettings.MaxLagLength := 1;
     // Read number of freedom degrees:
    eg.DFAdjustment := True;
     // Model calculation:
    res := eg.Execute;

    Debug.WriteLine(eg.Errors);
    For i := 0 To eg.WarningsCount-1 Do
        Debug.WriteLine(eg.Warnings[i]);
    End For;
    Debug.WriteLine("=== Test statistics ===");
    Debug.Indent;

    Debug.WriteLine("Tau " + eg.TauStat.Statistic.ToString + " " + eg.TauStat.Probability.ToString);
    Debug.WriteLine("Z " + eg.ZStat.Statistic.ToString + " " + eg.ZStat.Probability.ToString);
    Debug.Unindent;
    Debug.WriteLine("=== Model coefficient estimates ===");
    Debug.Indent;
    For i := 0 To eg.ModelCoefficients.Estimate.Length-1 Do
        Debug.WriteLine(eg.ModelCoefficients.Estimate[i].ToString + " "

            + eg.ModelCoefficients.StandardError[i].ToString + " "
            + eg.ModelCoefficients.TStatistic[i].ToString + " "
            + eg.ModelCoefficients.Probability[i].ToString);
    End For;
    Debug.Unindent;
    Debug.WriteLine("=== Auxiliary regression characteristics ===");
    Debug.Indent;

    Debug.WriteLine("Determination coefficient: " + eg.SummaryStatistics.R2.ToString);
    Debug.WriteLine("Adjusted determination coefficient: " + eg.SummaryStatistics.AdjR2.ToString);
    Debug.WriteLine("Standard regression error: " + eg.SummaryStatistics.SE.ToString);
    Debug.WriteLine("Durbin-Watson statistic: " + eg.SummaryStatistics.DW.ToString);
    Debug.Unindent;
End Sub UserProc;

After executing the example the console window displays the following:

Test statistics values.
Estimations of model coefficients.
Auxiliary regression characteristics.