Class JohansenAsymptoticDistribution

    • Constructor Detail

      • JohansenAsymptoticDistribution

        public JohansenAsymptoticDistribution​(JohansenAsymptoticDistribution.Test test,
                                              JohansenAsymptoticDistribution.TrendType trend,
                                              int dr,
                                              int nSim,
                                              int nT,
                                              long seed)
        Construct the asymptotic distribution of a Johansen test.
        Parameters:
        test - the type of Johansen cointegration test
        trend - the trend type
        dr - the dimension of the multivariate time series (d) minus the number of cointegrating vectors (r)
        nSim - the number of simulations
        nT - 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 seed
      • JohansenAsymptoticDistribution

        public JohansenAsymptoticDistribution​(JohansenAsymptoticDistribution.Test test,
                                              JohansenAsymptoticDistribution.TrendType trend,
                                              int dr,
                                              int nSim,
                                              int nT)
        Construct the asymptotic distribution of a Johansen test.
        Parameters:
        test - the type of Johansen cointegration test
        trend - the trend type
        dr - the dimension of the multivariate time series (d) minus the number of cointegrating vectors (r)
        nSim - the number of simulations
        nT - 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.
      • JohansenAsymptoticDistribution

        public JohansenAsymptoticDistribution​(JohansenAsymptoticDistribution.Test test,
                                              JohansenAsymptoticDistribution.TrendType trend,
                                              int dr)
        Construct the asymptotic distribution of a Johansen test.
        Parameters:
        test - the type of Johansen cointegration test
        trend - the trend type
        dr - the dimension of the multivariate time series (d) minus the number of cointegrating vectors (r)