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

ACTA WASAENSIA 185A5Matlab code for error detection in unit root tests1 function [rho,taustat,pctile_nc,pctile_c,tests] = df1976(y)2 % DF1976 Dickey Fuller test without constant or trend3 %---------------------------------------------------------------4 % USAGE: [RHO,TAUSTAT,PCTILE_NC,PCTILE_C,TESTS] = DF1976(Y)5 % performs TESTS=LENGTH(Y)/500 Dickey Fuller tests without6 % 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 %---------------------------------------------------------------10 % OUTPUT:11 % RHO is a ((LENGTH(Y)/500)*1) vector of estimated values12 % for rho in the regression y_t = rho*y_{t-1} + e_t.13 % TAUSTAT is a ((LENGTH(Y)/500)*1) vector of DF-statistics.14 % PCTILE_NC is a structure containing the number of tests15 % resulting in the following percentile of the asymptotic16 % distribution of RHO under the null hypothesis rho = 117 % using the correct table without constant in Fuller (1976):18 % PCTILE_NC.LT025: P(RHO) < 0.02519 % PCTILE_NC.LT05: 0.025