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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Augmented Dickey–Fuller test ： ウィキペディア英語版 Augmented Dickey–Fuller test In statistics and econometrics, an augmented Dickey–Fuller test (ADF) is a test for a unit root in a time series sample. It is an augmented version of the Dickey–Fuller test for a larger and more complicated set of time series models. The augmented Dickey–Fuller (ADF) statistic, used in the test, is a negative number. The more negative it is, the stronger the rejection of the hypothesis that there is a unit root at some level of confidence.〔(Econterms )〕 == Testing procedure == The testing procedure for the ADF test is the same as for the Dickey–Fuller test but it is applied to the model :$\backslash Delta\; y\_t\; =\; \backslash alpha\; +\; \backslash beta\; t\; +\; \backslash gamma\; y\_\; +\; \backslash delta\_1\; \backslash Delta\; y\_\; +\; \backslash cdots\; +\; \backslash delta\_\; \backslash Delta\; y\_\; +\; \backslash varepsilon\_t,$ where $\backslash alpha$ is a constant, $\backslash beta$ the coefficient on a time trend and $p$ the lag order of the autoregressive process. Imposing the constraints $\backslash alpha\; =\; 0$ and $\backslash beta\; =\; 0$ corresponds to modelling a random walk and using the constraint $\backslash beta\; =\; 0$ corresponds to modelling a random walk with a drift. Consequently, there are three main versions of the test, analogous to the ones discussed on Dickey–Fuller test (see that page for a discussion on dealing with uncertainty about including the intercept and deterministic time trend terms in the test equation.) By including lags of the order ''p'' the ADF formulation allows for higher-order autoregressive processes. This means that the lag length ''p'' has to be determined when applying the test. One possible approach is to test down from high orders and examine the ''t''-values on coefficients. An alternative approach is to examine information criteria such as the Akaike information criterion, Bayesian information criterion or the Hannan–Quinn information criterion. The unit root test is then carried out under the null hypothesis $\backslash gamma\; =\; 0$ against the alternative hypothesis of Once a value for the test statistic :$DF\_\backslash tau\; =\; \backslash frac)\}$ is computed it can be compared to the relevant critical value for the Dickey–Fuller Test. If the test statistic is less (this test is non symmetrical so we do not consider an absolute value) than the (larger negative) critical value, then the null hypothesis of $\backslash gamma\; =\; 0$ is rejected and no unit root is present. 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Augmented Dickey–Fuller test」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.