matlab实现adf检验,ADF检验MATLAB程序资料

ADF-situation1-statistic1-2.m

%ADF检验法p取2.

%AR(2)过程临界值的确定

T=5000;

N=200;

w1=zeros(1,T);

w2=zeros(1,T);

for t=1:T

sita1=0.7;

sita2=0.3;

ru=sita1+sita2;

labuda1=-sita2;

%p=2;

e=randn(1,N);

y1(1)=e(1);

y1(2)=sita1*y1(1)+e(2);

for j=3:N

y1(j)=sita1*y1(j-1)+sita2*y1(j-2)+e(j);

end

dertay1(1)=y1(1);

for i=2:N

dertay1(i)=y1(i)-y1(i-1);

end

%数据的生成过程

y(1)=e(1);

for k=2:N

y(k)=ru*y(k-1)+labuda1*dertay1(k-1)+e(k);

end

dertay(1)=y(1);

for h=2:N

dertay(h)=y(h)-y(h-1);

end

A=[sum(dertay(1,1:N-1).^2) sum(dertay(1,1:N-1).*y(1,1:N-1));