Interface | Description |
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JohansenAsymptoticDistribution.F |
This is a filtration function.
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Class | Description |
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CointegrationMLE |
Two or more time series are cointegrated if they each share a common type of
stochastic drift, that is, to a limited degree they share a certain type of
behavior in terms of their long-term fluctuations, but they do not
necessarily move together and may be otherwise unrelated.
|
JohansenAsymptoticDistribution |
Johansen provides the asymptotic distributions of the two
hypothesis testings (Eigen and Trace tests), each for 5
different trend types.
|
JohansenTest |
The maximum number of cointegrating relations among a multivariate time
series is the rank of the Π matrix.
|
Enum | Description |
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JohansenAsymptoticDistribution.Test |
the available types of Johansen cointegration tests
|
JohansenAsymptoticDistribution.TrendType |
the available types of trends
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