Package dev.nm.stat.cointegration
package dev.nm.stat.cointegration
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ClassDescriptionTwo 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.Johansen provides the asymptotic distributions of the two hypothesis testings (Eigen and Trace tests), each for 5 different trend types.This is a filtration function.the available types of Johansen cointegration teststhe available types of trendsThe maximum number of cointegrating relations among a multivariate time series is the rank of the Π matrix.