adf_kpss

adf_kpss —

Synopsis

enum                AdfCode;
int                 adf_test                            (int order,
                                                         const int *list,
                                                         double ***pZ,
                                                         DATAINFO *pdinfo,
                                                         gretlopt opt,
                                                         PRN *prn);
int                 kpss_test                           (int order,
                                                         const int *list,
                                                         double ***pZ,
                                                         DATAINFO *pdinfo,
                                                         gretlopt opt,
                                                         PRN *prn);
int                 coint                               (int order,
                                                         const int *list,
                                                         double ***pZ,
                                                         DATAINFO *pdinfo,
                                                         gretlopt opt,
                                                         PRN *prn);
double              df_pvalue_from_plugin               (double tau,
                                                         int n,
                                                         int niv,
                                                         int itv,
                                                         gretlopt opt);

Description

Details

enum AdfCode

typedef enum {
    UR_NO_CONST = 1,
    UR_CONST,
    UR_TREND,
    UR_QUAD_TREND,
    UR_MAX
} AdfCode;

adf_test ()

int                 adf_test                            (int order,
                                                         const int *list,
                                                         double ***pZ,
                                                         DATAINFO *pdinfo,
                                                         gretlopt opt,
                                                         PRN *prn);

Carries out and prints the results of the Augmented Dickey-Fuller test for a unit root.

`order` :	lag order for the test.
`list` :	list of variables to test.
`pZ` :	pointer to data matrix.
`pdinfo` :	data information struct.
`opt` :	option flag.
`prn` :	gretl printing struct.
Returns :	0 on successful completion, non-zero on error.

kpss_test ()

int                 kpss_test                           (int order,
                                                         const int *list,
                                                         double ***pZ,
                                                         DATAINFO *pdinfo,
                                                         gretlopt opt,
                                                         PRN *prn);

Carries out and prints the results of the KPSS test for stationarity.

`order` :	window size for Bartlett smoothing.
`list` :	list of variables to test.
`pZ` :	pointer to data matrix.
`pdinfo` :	data information struct.
`opt` :	option flag.
`prn` :	gretl printing struct.
Returns :	0 on successful completion, non-zero on error.

coint ()

int                 coint                               (int order,
                                                         const int *list,
                                                         double ***pZ,
                                                         DATAINFO *pdinfo,
                                                         gretlopt opt,
                                                         PRN *prn);

Carries out the Engle-Granger test for cointegration.

`order` :	lag order for the test.
`list` :	specifies the variables to use.
`pZ` :	pointer to data matrix.
`pdinfo` :	data information struct.
`opt` :	if `OPT_N`, do not an include a constant in the cointegrating regression, if `OPT_S`, skip DF tests for individual variables; if `OPT_E`, test down from maximum lag order.
`prn` :	gretl printing struct.
Returns :	0 on successful completion.

df_pvalue_from_plugin ()

double              df_pvalue_from_plugin               (double tau,
                                                         int n,
                                                         int niv,
                                                         int itv,
                                                         gretlopt opt);

`tau` :
`n` :
`niv` :
`itv` :
`opt` :
Returns :

			Libgretl Reference Manual
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