ISmNgPerronTest.MPTStat

Syntax

Description

The MPTStat property returns the value of the Elliot-Rothenberg-Stock modified statistic MPdt.

Comments

To get the value of the modified Phillips-Perron statistics, use the ISmNgPerronTest.MZaStat and ISmNgPerronTest.MZtStat properties.

Example

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

Sub UserProc;
Var
    NP: SmNgPerronTest;
    MZaStat, MZtStat, MSBStat, MPTStat: IUnitRootTestStatistic;
    can: Array[43] Of Double;
    i, res: Integer;
Begin
    NP := New SmNgPerronTest.Create;
    // Set values for 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;
    //Select tested series
    NP.Serie.Value := can;
    // Type of tested series
    NP.TestedSeries := ADFTestedSeriesType.Level;
    // Method of missing data treatment
    NP.MissingData.Method := MissingDataMethod.LinTrend;
    // Model type
    NP.Equation := EquationType.Constant;
    // Method of calculation of adjusted residuals variance
    NP.F0SpectrumEstimation := F0SpectrumEstimationType.BartlettKernel;
    // Autoregression order
    NP.AutoRegressionOrder := 9;
    // Sample period
    NP.ModelPeriod.FirstPoint := 1;
    NP.ModelPeriod.LastPoint := 43;
    res := NP.Execute;
    For i := 0 To NP.WarningsCount - 1 Do
        Debug.WriteLine(NP.Warnings[i]);
    End For;
    MZaStat := NP.MZaStat;
    MZtStat := NP.MZtStat;
    MSBStat := NP.MSBStat;
    MPTStat := NP.MPTStat;
    If res = 0 Then
        Debug.WriteLine("===Display statistical values===");
        Debug.WriteLine("MZaStat: ");
        Debug.WriteLine("Statistics value: " + MZaStat.Statistics.ToString);
        Debug.WriteLine("Probability value: " + MZaStat.Probability.ToString);
        Debug.WriteLine("Critical values: ");
        Debug.Indent;
        For i := 0 To MZaStat.CriticalValues.Length - 1 Do
            Debug.Write(i.ToString + " ");
            Debug.WriteLine(MZaStat.CriticalValues[i]);
        End For;
        Debug.Unindent;
        Debug.WriteLine("MZtStat: ");
        Debug.WriteLine("Statistics value: " + MZtStat.Statistics.ToString);
        Debug.WriteLine("Probability value: " + MZtStat.Probability.ToString);
        Debug.WriteLine("Critical values: ");
        Debug.Indent;
        For i := 0 To MZtStat.CriticalValues.Length - 1 Do
            Debug.Write(i.ToString + " ");
            Debug.WriteLine(MZtStat.CriticalValues[i]);
        End For;
        Debug.Unindent;
        Debug.WriteLine("MSBStat: ");
        Debug.WriteLine("Statistics value: " + MSBStat.Statistics.ToString);
        Debug.WriteLine("Probability value: " + MSBStat.Statistics.ToString);
        Debug.WriteLine("Critical values: ");
        Debug.Indent;
        For i := 0 To MSBStat.CriticalValues.Length - 1 Do
            Debug.Write(i.ToString + " ");
            Debug.WriteLine(MSBStat.CriticalValues[i]);
        End For;
        Debug.Unindent;
        Debug.WriteLine("MPTStat: ");
        Debug.WriteLine("Statistics value: " + MPTStat.Statistics.ToString);
        Debug.WriteLine("Probability value: " + MPTStat.Statistics.ToString);
        Debug.WriteLine("Critical values: ");
        Debug.Indent;
        For i := 0 To MPTStat.CriticalValues.Length - 1 Do
            Debug.Write(i.ToString + " ");
            Debug.WriteLine(MPTStat.CriticalValues[i]);
        End For;
        Debug.Unindent;
        Debug.WriteLine("===Descriptive characteristics of auxiliary regression===");
        Debug.WriteLine("Adjusted residuals variance: " + NP.F0.ToString);
        Else
            Debug.WriteLine(NP.Errors);
    End If;
End Sub UserProc;

After executing the example the console window displays calculation results for the Ng-Perron test.