BERND PAPE Asset Allocation, Multivariate Position Based Trading ...

182 ACTA WASAENSIAA4Matlab code for Dickey-Fuller test including a constant1 function [rho,taustat,pctile_c,tests] = df1976c(y)2 % DF1976C Dickey Fuller test including a constant3 %---------------------------------------------------------------4 % USAGE: [RHO,TAUSTAT,PCTILE_C,TESTS] = DF1976C(Y)5 % performs TESTS=LENGTH(Y)/500 Dickey Fuller tests including6 % a constant upon 500 observations of the time series Y7 % using the critical values from Fuller (1976).8 % The length of Y must be an integer multiple of 500.9 % NOTE: It’s also possible to use noninteger multiples of 50010 % by corresponding modification of the first line of11 % executable code: nobs = (new # observations in each test),12 % but the critical values for 500 observations will still13 % be used, which differ only in the last digit from inf. obs.14 %---------------------------------------------------------------15 % OUTPUT:16 % RHO is a ((LENGTH(Y)/500)*1) vector of estimated values17 % for rho in the regression y_t = c + rho*y_{t-1} + e_t.18 % TAUSTAT is a ((LENGTH(Y)/500)*1) vector of DF-statistics.19 % PCTILE_C is a structure containing the number of tests20 % resulting in the following percentile of the asymptotic21 % distribution of RHO under the null hypothesis rho = 122 % using the second panel of table 8.5.2 in Fuller (1976)23 % PCTILE_C.LT025: P(RHO) < 0.02524 % PCTILE_C.LT05: 0.025