Augmented Dickey-Fuller GLS
バージョン 1.0.0 (2.35 KB) 作成者:
Franco Marcelo Taipe Silvestre
Augmented Dickey-Fuller with GLS detrending as specified by Elliott, Rothenberg, and Stock (1996).
A versatile function that performs the ADF GLS test based on ERS 1996. A comprehensive description of the method is included in the script. The standard ADF and the OLS detrending variants are also supported.
引用
Franco Marcelo Taipe Silvestre (2024). Augmented Dickey-Fuller GLS (https://www.mathworks.com/matlabcentral/fileexchange/81298-augmented-dickey-fuller-gls), MATLAB Central File Exchange. 取得済み .
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作成:
R2019a
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