adf.m

计量工具箱

function results =  adf(x,p,l)
% PURPOSE: carry out DF tests on a time-series vector
%---------------------------------------------------
% USAGE: results = adf(x,p,nlag)
% where:      x = a time-series vector
%             p = order of time polynomial in the null-hypothesis
%                 p = -1, no deterministic part
%                 p =  0, for constant term
%                 p =  1, for constant plus time-trend
%                 p >  1, for higher order polynomial
%         nlags = # of lagged changes of x included           
%---------------------------------------------------
% RETURNS: a results structure
%         results.meth  = 'adf'
%         results.alpha = estimate of the autoregressive parameter
%         results.adf   = ADF t-statistic
%         results.crit = (6 x 1) vector of critical values
%                        [1% 5% 10% 90% 95% 99%] quintiles    
%         results.nlag = nlag   
%---------------------------------------------------
% SEE ALSO: prt_coint()
%--------------------------------------------------- 
% References: Said and Dickey (1984) 'Testing for Unit Roots in
% Autoregressive Moving Average Models of Unknown Order', 
% Biometrika, Volume 71, pp. 599-607.

% written by:
% James P. LeSage, Dept of Economics
% University of Toledo
% 2801 W. Bancroft St,
% Toledo, OH 43606
% [e-mail]

% Modeled after a similar Gauss routine by
% Sam Ouliaris, in a package called COINT

% error checking on inputs
if (nargin ~= 3)
 error('Wrong # of arguments to adf');
end;

if (p < -1)
 error('p less than -1 in adf');
elseif (cols(x) > 1)
 error('adf cannot handle a matrix -- only vectors');
end;

nobs = rows(x);

if ((nobs - 2*l)+1 < 1)
 error('nlags too large in adf, negative dof');
end;

dep = trimr(x,1,0);
ch = tdiff(x,1);
ch = trimr(ch,1,0);

% Gerard van den Hout suggested the fix below
% Erasmus University Rotterdam.
% The Netherlands.
k = 0 ;
z = [];
while (k < l);
    k = k+1;
    z = [z lag(ch,k)];
end;
z = trimr(z,k,0);
dep = trimr(dep,k,0);

if (p > -1)
 z = [z ptrend(p,rows(z))];
end;

     b       = inv(z'*z)*(z'*dep);
     % res     = dep - z*b ;
     % BUG fix suggested by 
% Nick Firoozye
% Sanford C. Bernstein, Inc
     res = detrend(dep,0) - detrend(z,0)*b; 

     so      = (res'*res)/(rows(dep)-cols(z));
     var_cov = so*inv(z'*z) ;
     
     results.nlag = l;
     results.alpha = b(1,1);
     results.adf = (b(1,1)-1)/sqrt(var_cov(1,1));
     results.crit = ztcrit(nobs,p);
     results.meth = 'adf';