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public interface RejectionValueEstimator
Estimator of rejection values - critical values and p-values - for unit roots and cointegration tests, as detailed in
Method Summary | |
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double |
estimateAsymptoticValue(double[] norms,
double[] probs,
double[] weights,
double[] criticalValues,
double level)
Estimates an asymptotic rejection value |
double |
estimateValue(double[] norms,
double[] probs,
double[] weights,
double[][] beta,
int sampleSize,
int[] params,
double level)
Estimates a rejection value |
Method Detail |
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double estimateValue(double[] norms, double[] probs, double[] weights, double[][] beta, int sampleSize, int[] params, double level)
norms
- the normalisations used to construct the regressors matrixprobs
- the probabilities used to construct the covariance matrixweights
- the weights sed to construct the covariance matrixbeta
- the beta valuessampleSize
- the sample sizeparams
- the params specific to different testslevel
- the significance level
double estimateAsymptoticValue(double[] norms, double[] probs, double[] weights, double[] criticalValues, double level)
norms
- the normalisations used to construct the regressors matrixprobs
- the probabilities used to construct the covariance matrixweights
- the weights used to construct the covariance matrixcriticalValues
- the criticalvalueslevel
- the significance level
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