Class JohansenTest


  • 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
    • Method Detail

      • 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
      • r

        public int r​(CointegrationMLE coint,
                     double level)
        Get the (most likely) order of cointegration.
        Parameters:
        coint - the results of Johansen cointegration
        level - the confidence level, i.e., 1 - quantile
        Returns:
        the order of cointegration