ADF检验MATLAB程序

%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

检验法取 %ADFp2. 过程临界值的确定 %AR(2) T=5000; N=200; w1=zeros(1,T); w2=zeros(1,T); t=1:T for 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); j=3:N for y1(j)=sita1*y1(j-1)+sita2*y1(j-2)+e(j); end dertay1(1)=y1(1); i=2:N for dertay1(i)=y1(i)-y1(i-1); end 数据的生成过程 % y(1)=e(1); k=2:N for y(k)=ru*y(k-1)+labuda1*dertay1(k-1)+e(k); end dertay(1)=y(1); h=2:N for 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));