Expand description
Basic Unit root tests for time series data.
Examples
use unit_root::prelude::distrib::dickeyfuller::get_critical_value;
use unit_root::prelude::distrib::{AlphaLevel, Regression};
use unit_root::prelude::nalgebra::DVector;
use unit_root::prelude::tools::adf_test;
use unit_root::prelude::*;
let y = DVector::from_row_slice(&[
-0.89642362f64,
0.3222552,
-1.96581989,
-1.10012936,
-1.3682928,
1.17239875,
2.19561259,
2.54295031,
2.05530587,
1.13212955,
-0.42968979,
]);
let lag = 2;
let regression = Regression::Constant;
let report = adf_test(&y, lag, regression).unwrap();
let critical_value: f64 =
get_critical_value(regression, report.size, AlphaLevel::OnePercent).unwrap();
assert_eq!(report.size, 8);
let t_stat = report.test_statistic;
println!("t-statistic: {}", t_stat);
println!("critical_value: {}", critical_value);
References
Modules
- The public API. unit_root is a library for testing for unit roots in time series. This is the public API. Enjoy!
Enums
- The error type for this crate.