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Well, I must admit that I'm not sure why it's different, but as I can obtain similar result in excel,
presented article cannon be wrong. It's rather some difference in calculating t value and in the set of those critical valuse.
If you would use t value from matlab or mathematica and compare it to critical values presented in the article,
the test result would be the same as for t value calculated with the method presented in the article.
However, considering that all those critical values are negative I would rather believe that implemented method is more suitable for them
(result obtained in mathematica is too big in comparison).
Of course I will try to look up for another methods of calculating t value to find out why those results are so different.
Regards,
Herajika
Well, I must admit that I'm not sure why it's different, but as I can obtain similar result in excel,
presented article cannon be wrong. It's rather some difference in calculating t value and in the set of those critical valuse.
If you would use t value from matlab or mathematica and compare it to critical values presented in the article,
the test result would be the same as for t value calculated with the method presented in the article.
However, considering that all those critical values are negative I would rather believe that implemented method is more suitable for them
(result obtained in mathematica is too big in comparison).
Of course I will try to look up for another methods of calculating t value to find out why those results are so different.
Regards,
Herajika
Hello Haruna Nakamura,
I'm wondering if there is a small error at this line of code, used for calculating the t-value:
instead of
Regards,
Malacarne
I uploaded edited version and it should appear when accepted by moderator.
Thank you once again!
Hello Guys,
Am new to all of this! Can you someone advise how can I implement into MT5 and use this script? Thanks
First of all it's a head file. You cannot #import template. So It's include-file.
Then function "T mean(T &arr[])" must return double in any case of T-templates. Mean of 1 and 2 is 1.5 but not 1.
Could someone please make an example with engleGrangerTest?
I tried without results.
Hello @Haruna Nakamura,
It seems that the STD function is for population and not for sample. Using this function inadvertently may lead to erroneous conclusions. I would suggest changing the function name and / or adding the function to the sample standard deviation.
By the way, the MQL5 already have in it's Math library, the function MathStandardDeviation().