Package dev.nm.stat.cointegration
Class JohansenTest
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- dev.nm.stat.cointegration.JohansenTest
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public class JohansenTest extends Object
The maximum number of cointegrating relations among a multivariate time series is the rank of the Π matrix. To determine the (most likely) number of cointegrating relations r, we need to check the likelihood of hypothesis of r being from 1 to the rank. Johansen provides two types of such hypothesis test statistics.- See Also:
JohansenAsymptoticDistribution.Test
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Constructor Summary
Constructors Constructor Description JohansenTest(JohansenAsymptoticDistribution.Test test, JohansenAsymptoticDistribution.TrendType trend, int dim)Construct an instance ofJohansenTest.JohansenTest(JohansenAsymptoticDistribution.Test test, JohansenAsymptoticDistribution.TrendType trend, int dim, int nSim, int nT)Construct an instance ofJohansenTest.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description VectorgetStats(CointegrationMLE coint)Get the set of likelihood ratio test statistics for testing H(r) in H(r+1).intr(CointegrationMLE coint, double level)Get the (most likely) order of cointegration.
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Constructor Detail
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JohansenTest
public JohansenTest(JohansenAsymptoticDistribution.Test test, JohansenAsymptoticDistribution.TrendType trend, int dim, int nSim, int nT)
Construct an instance ofJohansenTest.- Parameters:
test- the type of Johansen cointegration testtrend- the trend typedim- the number of (real) eigenvaluesnSim- the number of simulationsnT- the number of discretization levels
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JohansenTest
public JohansenTest(JohansenAsymptoticDistribution.Test test, JohansenAsymptoticDistribution.TrendType trend, int dim)
Construct an instance ofJohansenTest.- Parameters:
test- the type of Johansen cointegration testtrend- the trend typedim- the number of (real) eigenvalues
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Method Detail
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getStats
public Vector getStats(CointegrationMLE coint)
Get the set of likelihood ratio test statistics for testing H(r) in H(r+1).- Parameters:
coint- the results of Johansen cointegration- Returns:
- the likelihood ratio test statistics
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r
public int r(CointegrationMLE coint, double level)
Get the (most likely) order of cointegration.- Parameters:
coint- the results of Johansen cointegrationlevel- the confidence level, i.e., 1 - quantile- Returns:
- the order of cointegration
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