Package dev.nm.stat.cointegration
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Interface Summary Interface Description JohansenAsymptoticDistribution.F This is a filtration function. -
Class Summary Class Description 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 Summary Enum Description JohansenAsymptoticDistribution.Test the available types of Johansen cointegration testsJohansenAsymptoticDistribution.TrendType the available types of trends