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1 parent e938018 commit 3ac04a4Copy full SHA for 3ac04a4
src/statistical_tests/kpss.jl
@@ -36,10 +36,10 @@ function p_value_from_η(η::Fl, crit_vals::Vector{Fl}) where Fl
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end
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function calc_η_level(y::Vector{Fl}, lags::Bool) where Fl
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- n = length(y)
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- ϵ = y .- (mean(y))
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- l = calc_lag_kpss(lags, n)
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- η = (1/n^2)*sum(sum((((sum(ϵ[i] for i in 1:t))^2)/σ²_estimator(l, n, ϵ)) for t in 1:n))
+ n = length(y)
+ ϵ = y .- (mean(y))
+ l = calc_lag_kpss(lags, n)
+ η = (1/n^2)*sum(sum((((sum(ϵ[i] for i in 1:t))^2)/σ²_estimator(l, n, ϵ)) for t in 1:n))
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return η
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