Fractional-Frequency-Fourier-Part2-OxGauss/2. OxGuass code for Fourier ADF analysis(1).src at OxGauss-codes · nonlinear-lab/Fractional-Frequency-Fourier-Part2-OxGauss · GitHub

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@==============================================================@
@ OxGauss code for Fourier ADF analysis			               @
@ Input: 			y: Tx1 vector of time series (LGDP)		   @
@ 	: 			x: Tx1 vector of time series (LPOP)		       @
@ Output: 			bounds test (BT) statistics			       @
@ Subprgram: 			none                                   @
@ Max Lag length: 		4                                      @
@==============================================================@

closeall;

output file=bt_out(1).txt reset;

@=====Data input===============================================@
load data[26,5]=data1.txt;
rr=rows(data);
cc=cols(data);

mout=zeros(cc,2);

p=1;
do while p<=cc;

y0=data[1:rr,p];

@=====Fourier ADF test===============================================@

akaike0=-73737373;
k=1;
"++ Fractional frequency ++";
kk=0.1;
Do while kk<=4;

n=rows(y0);
const=ones(n,1);
trend=seqa(1,1,n);
sinf=sin((2*3.141592*trend*kk)/n);
cosf=cos((2*3.141592*trend*kk)/n);
dy=y0[k+1:n]-y0[k:n-1];
x=const[k+2:n]~trend[k+2:n]~y0[k+1:n-1]~dy[k:n-2]~sinf[k+2:n]~cosf[k+2:n];
y=dy[k+1:n-1];
invx=inv(x'x);
beta=invx*x'y;
e=y-x*beta;
ssr=e'e;
var=(e'e/(rows(y)-cols(x)))*invx;
sd=sqrt(diag(var));
t=beta./sd;
LK=-(rows(y)/2)*(1+ln(3.141593*2)+ln(e'e/rows(y)));
akaike=-2*(LK/rows(y))+2*(cols(x)/rows(y));
if akaike>akaike0;
kk0=kk;
akaike0=akaike;
endif;

kk=kk+0.1;
endo;

const=ones(n,1);
trend=seqa(1,1,n);
sinf=sin((2*3.141592*trend*kk0)/n);
cosf=cos((2*3.141592*trend*kk0)/n);
dy=y0[k+1:n]-y0[k:n-1];
x=const[k+2:n]~trend[k+2:n]~y0[k+1:n-1]~dy[k:n-2]~sinf[k+2:n]~cosf[k+2:n];
y=dy[k+1:n-1];
invx=inv(x'x);
beta=invx*x'y;
e=y-x*beta;
ssr=e'e;
var=(e'e/(rows(y)-cols(x)))*invx;
sd=sqrt(diag(var));
t=beta./sd;
adf=t[3];

"fff_adf=" adf;
"optimal frequency=" kk0;
mout[p,1]=kk0;
mout[p,2]=adf;

p=p+1;
endo;

"findings=" mout;
@=====end of calcuration===============================================@