public class JohansenAsymptoticDistribution extends EmpiricalDistribution
Modifier and Type | Class and Description |
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static interface |
JohansenAsymptoticDistribution.F
This is a filtration function.
|
static class |
JohansenAsymptoticDistribution.Test
the available types of Johansen cointegration tests
|
static class |
JohansenAsymptoticDistribution.TrendType
the available types of trends
|
Constructor and Description |
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JohansenAsymptoticDistribution(JohansenAsymptoticDistribution.Test test,
JohansenAsymptoticDistribution.TrendType trend,
int dr)
Construct the asymptotic distribution of a Johansen test.
|
JohansenAsymptoticDistribution(JohansenAsymptoticDistribution.Test test,
JohansenAsymptoticDistribution.TrendType trend,
int dr,
int nSim,
int nT)
Construct the asymptotic distribution of a Johansen test.
|
JohansenAsymptoticDistribution(JohansenAsymptoticDistribution.Test test,
JohansenAsymptoticDistribution.TrendType trend,
int dr,
int nSim,
int nT,
long seed)
Construct the asymptotic distribution of a Johansen test.
|
public JohansenAsymptoticDistribution(JohansenAsymptoticDistribution.Test test, JohansenAsymptoticDistribution.TrendType trend, int dr, int nSim, int nT, long seed)
test
- the type of Johansen cointegration testtrend
- the trend typedr
- the dimension of the multivariate time series (d)
minus the number of cointegrating vectors (r)nSim
- the number of simulationsnT
- the number of grid points in interval [0, 1]. The
bigger nT
is, the finer the time discretization is,
the smaller the discretization error is, and the more accurate the
results are.seed
- a seedpublic JohansenAsymptoticDistribution(JohansenAsymptoticDistribution.Test test, JohansenAsymptoticDistribution.TrendType trend, int dr, int nSim, int nT)
test
- the type of Johansen cointegration testtrend
- the trend typedr
- the dimension of the multivariate time series (d)
minus the number of
cointegrating vectors (r)nSim
- the number of simulationsnT
- the number of grid points in interval [0, 1]. The
bigger nT
is,
the finer the time discretization is, the smaller the discretization
error is,
and the more accurate the results are.public JohansenAsymptoticDistribution(JohansenAsymptoticDistribution.Test test, JohansenAsymptoticDistribution.TrendType trend, int dr)
test
- the type of Johansen cointegration testtrend
- the trend typedr
- the dimension of the multivariate time series (d)
minus the number of cointegrating vectors (r)Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.