ISmJohansenTest.MissingData

Syntax

Description

The MissingData property determines missing data treatment method.

Comments

By default missing data is not treated.

Example

Add a link to the Stat system assembly.

Sub UserProc;
Var
    Jtest: SmJohansenTest;
    Dl, Rl, D: Array[17] Of Double;
    ARO: Array[1] Of Integer;
    Eqs: IJohansenTestEquations;
    Eq: IJohansenTestEquation;
    i, j, res: Integer;
    d0, d1, d2, d3: Double;
    CEV: Array Of Double;
Begin
    Jtest := New SmJohansenTest.Create;
    //values Dl, Rl, D
    Dl[00] := -9999.99;     Rl[00] := -9999.99;     D[00] := -9999.99;
    Dl[01] := -0.011060947; Rl[01] := -9999.99;     D[01] := -9999.99;
    Dl[02] := 0.088021988;  Rl[02] := -9999.99;     D[02] := -9999.99;
    Dl[03] := Double.Nan;   Rl[03] := -9999.99;     D[03] := -9999.99;
    Dl[04] := -0.174221365; Rl[04] := 0.104287003;  D[04] := -9999.99;
    Dl[05] := 0.027131344;  Rl[05] := 0.026467205;  D[05] := -0.01;
    Dl[06] := 0.054179916;  Rl[06] := 0.047706589;  D[06] := 0.25;
    Dl[07] := Double.Nan;   Rl[07] := 0.01704113;   D[07] := 0.13;
    Dl[08] := -0.092249734; Rl[08] := -0.105077669; D[08] := 0.02;
    Dl[09] := -0.006322466; Rl[09] := -0.110288178; D[09] := -0.01;
    Dl[10] := 0.027113235;  Rl[10] := -0.011793876; D[10] := -0.06;
    Dl[11] := 0.057958277;  Rl[11] := 0.031454854;  D[11] := 0.04;
    Dl[12] := -0.048741622; Rl[12] := -0.032034153; D[12] := 0.05;
    Dl[13] := -0.00306279;  Rl[13] := -0.053657954; D[13] := -0.01;
    Dl[14] := 0.03120535;   Rl[14] := -0.025958191; D[14] := 0.015;
    Dl[15] := 0.104368944;  Rl[15] := 0.074380868;  D[15] := 0.025;
    Dl[16] := -0.135574294; Rl[16] := -0.064428893; D[16] := 0.02;
    ARO[0] := 1;
    Eqs := Jtest.Equations;
    Eq := Eqs.Add;
    Eq.Serie.Value := Dl;
    Eq.AutoRegressionOrder := ARO;
    Eq := Eqs.Add;
    Eq.Serie.Value := Rl;
    Eq.AutoRegressionOrder := ARO;
    Eq := Eqs.Add;
    Eq.Serie.Value := D;
    Eq.AutoRegressionOrder := ARO;
    // Sample period:
    Jtest.ModelPeriod.FirstPoint := 1;
    Jtest.ModelPeriod.LastPoint := 17;
    // Missing data treatment:
    Jtest.MissingData.Method := MissingDataMethod.LinTrend;
    // Error correction model type:
    Jtest.ModelType := ECMType.NoTrendNoIntercept;
    // Calculate model:
    res := Jtest.Execute;
    If res <> 0 Then
        Debug.WriteLine(Jtest.Errors);
        Else
            Debug.WriteLine("Own value LikelihoodRatio 5% critical value 1% critical value");
            For i := 0 To Jtest.Equations.Count-1 Do
                Eq := Jtest.Equations.Item(i);
                Debug.Write("Relations " + i.ToString + ": ");
                d0 := Eq.Report.EigenValue;
                d1 := Eq.Report.LikelihoodRatio;
                d2 := Eq.Report.OnePercentCriticalValue;
                d3 := Eq.Report.FivePercentCriticalValue;
                Debug.WriteLine(" " + d0.ToString + ", " + d1.ToString + ", " + d2.ToString +", " + d3.ToString );
            End For;
            Debug.WriteLine("Cointegration equations");
            For i := 0 To Jtest.CointegralEquations.Count - 1 Do
                CEV := Jtest.CointegralEquations.Item(i).Value;
                Debug.WriteLine("== Equation: " + (i + 1).ToString + " ==");
                For j := 0 To CEV.Length - 1 Do
                    d0 := CEV[j];
                    Debug.WriteLine('(' + i.ToString + ", " + j.ToString + "): " + d0.ToString);
                End For;
            End For;
    End If;
End Sub UserProc;

After executing the example the console window displays calculation results for the test, and cointegration equations.