public class JohansenTest extends Object
JohansenAsymptoticDistribution.Test
Constructor and Description |
---|
JohansenTest(JohansenAsymptoticDistribution.Test test,
JohansenAsymptoticDistribution.TrendType trend,
int dim)
Construct an instance of
JohansenTest . |
JohansenTest(JohansenAsymptoticDistribution.Test test,
JohansenAsymptoticDistribution.TrendType trend,
int dim,
int nSim,
int nT)
Construct an instance of
JohansenTest . |
Modifier and Type | Method and Description |
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Vector |
getStats(CointegrationMLE coint)
Get the set of likelihood ratio test statistics for testing H(r)
in H(r+1).
|
int |
r(CointegrationMLE coint,
double level)
Get the (most likely) order of cointegration.
|
public JohansenTest(JohansenAsymptoticDistribution.Test test, JohansenAsymptoticDistribution.TrendType trend, int dim, int nSim, int nT)
JohansenTest
.test
- the type of Johansen cointegration testtrend
- the trend typedim
- the number of (real) eigenvaluesnSim
- the number of simulationsnT
- the number of discretization levelspublic JohansenTest(JohansenAsymptoticDistribution.Test test, JohansenAsymptoticDistribution.TrendType trend, int dim)
JohansenTest
.test
- the type of Johansen cointegration testtrend
- the trend typedim
- the number of (real) eigenvaluespublic Vector getStats(CointegrationMLE coint)
coint
- the results of Johansen cointegrationpublic int r(CointegrationMLE coint, double level)
coint
- the results of Johansen cointegrationlevel
- the confidence level, i.e., 1 - quantileCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.