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Checked
Against arch 8.0 (arch.unitroot) on six series (a random walk, a stationary AR(1), a trend-stationary series, a series with a break in its level, the log price of gold on H4 and of BTCUSD on D1), 204 tests with every trend, lag rule and option:
- the same lags, bandwidths, numbers of observations, break dates and critical values;
- statistics within 3e-11 and p-values within 2e-11.
Files
Stationarity.mqh and StationarityTables.mqh go to MQL5\Include\Stationarity, StationarityReport.mq5 to MQL5\Scripts\Stationarity.
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