/* nag_tsa_uni_dickey_fuller_unit (g13awc) Example Program.
*
* Copyright 2021 Numerical Algorithms Group.
*
* Mark 27.3, 2021.
*/
#include <nag.h>
#include <stdio.h>
int main(void) {
/* Integer scalar and array declarations */
Integer n, nsamp = 0, p, i;
Integer exit_status = 0;
Integer *state = 0;
/* NAG structures and types */
NagError fail;
Nag_TS_URProbMethod method;
Nag_TS_URTestType type;
/* Double scalar and array declarations */
double pvalue, ts;
double *y = 0;
/* Character scalar and array declarations */
char ctype[30];
/* Initialize the error structure */
INIT_FAIL(fail);
printf("nag_tsa_uni_dickey_fuller_unit (g13awc) Example Program Results\n\n");
/* Skip heading in data file */
scanf("%*[^\n] ");
/* Read in the problem size, test type, order of the AR process */
scanf("%" NAG_IFMT "%29s%" NAG_IFMT "%*[^\n] ", &n, ctype, &p);
type = (Nag_TS_URTestType)nag_enum_name_to_value(ctype);
/* Allocate memory */
if (!(y = NAG_ALLOC(n, double))) {
printf("Allocation failure\n");
exit_status = -1;
goto END;
}
/* Read in the time series */
for (i = 0; i < n; i++)
scanf("%lf", &y[i]);
scanf("%*[^\n] ");
/* nag_tsa_uni_dickey_fuller_unit (g13awc):
Calculate the Dickey-Fuller test statistic */
ts = nag_tsa_uni_dickey_fuller_unit(type, p, n, y, &fail);
if (fail.code != NE_NOERROR) {
printf("Error from nag_tsa_uni_dickey_fuller_unit (g13awc).\n%s\n",
fail.message);
exit_status = 1;
goto END;
}
/* g01ewc: Get the associated p-value using simulation */
method = Nag_ViaLookUp;
pvalue = nag_stat_prob_dickey_fuller_unit(method, type, n, ts, nsamp, state,
&fail);
if (fail.code != NE_NOERROR && fail.code != NW_EXTRAPOLATION) {
printf("Error from nag_stat_prob_dickey_fuller_unit (g01ewc).\n%s\n",
fail.message);
exit_status = 1;
goto END;
}
/* Display the results */
printf("Dickey-Fuller test statistic = %6.3f\n", ts);
printf("associated p-value = %6.3f\n", pvalue);
if (fail.code == NW_EXTRAPOLATION) {
printf("NB: p-value obtained via extrapolation\n");
}
END:
NAG_FREE(y);
return exit_status;
}