Expand description
Order of integration d by sequential unit-root testing with a vanishing
level: difference until the test stops indicating a unit root, with
α_n → 0 so the number of differences is estimated consistently.
Two tests are offered. KPSS (default; null = stationarity): under a true
stationary level the rejection probability tends to α_n → 0, under a
unit root the statistic diverges, so d̂ → d either way. ADF (null =
unit root): the type-I error vanishes and the power tends to one, same
conclusion from the other side. Fractional d is out of scope.
Structs§
- Integration
Config - Configuration of
integration_order. - Integration
Result - Output of
integration_order.
Enums§
- Unit
Root Test - Which unit-root test drives the sequence.
Functions§
- integration_
order - Estimate the order of integration by sequential testing with a vanishing
level. The ARMA order selectors in this crate assume stationarity; run
this first and difference
dtimes.