com.numericalmethod.suanshu.stats.cointegration

Class JohansenAsymptoticDistribution

java.lang.Object

com.numericalmethod.suanshu.stats.distribution.univariate.EmpiricalDistribution

com.numericalmethod.suanshu.stats.cointegration.JohansenAsymptoticDistribution

All Implemented Interfaces:

ProbabilityDistribution, java.io.Serializable

public class JohansenAsymptoticDistribution
extends EmpiricalDistribution

Johansen provides the asymptotic distributions of the two hypothesis testings (Eigen and Trace tests), each for 5 different trend types.

See Also:

"Kevin Sun, Notes on Cointegration, February 23, 2011.", Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static interface	JohansenAsymptoticDistribution.F This is a filtration function.
static class	JohansenAsymptoticDistribution.Test the types of Johansen cointegration tests available
static class	JohansenAsymptoticDistribution.TrendType the types of trends available

Constructor Summary

Constructors

Constructor and Description
JohansenAsymptoticDistribution(JohansenAsymptoticDistribution.Test test, JohansenAsymptoticDistribution.TrendType trend, int dr) Construct the asymptotic distribution of a Johansen test.
JohansenAsymptoticDistribution(JohansenAsymptoticDistribution.Test test, JohansenAsymptoticDistribution.TrendType trend, int dr, int nSim, int nT, long seed) Construct the asymptotic distribution of a Johansen test.

Method Summary

Methods inherited from class com.numericalmethod.suanshu.stats.distribution.univariate.EmpiricalDistribution

cdf, density, entropy, kurtosis, mean, median, moment, nSamples, quantile, skew, toArray, variance

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

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)

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)