com.numericalmethod.suanshu.stats.cointegration

Class JohansenTest

java.lang.Object

com.numericalmethod.suanshu.stats.cointegration.JohansenTest

All Implemented Interfaces:

java.io.Serializable

public class JohansenTest
extends java.lang.Object
implements java.io.Serializable

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, Serialized Form

Constructor Summary

Constructors

Constructor and Description
JohansenTest(JohansenAsymptoticDistribution.Test test, JohansenAsymptoticDistribution.TrendType trend, int dim) Construct an instance of JohansenTest.
JohansenTest(JohansenAsymptoticDistribution.Test test, JohansenAsymptoticDistribution.TrendType trend, int dim, int nSim, int nT) Construct an instance of JohansenTest.

Method Summary

Modifier and Type	Method and Description
ImmutableVector	getStats(CointegrationMLE coint) Get the set of likelihood ratio test statistics for testing H(r) in H(r+1).
int	r(CointegrationMLE coint, double level) Get the (most likely) order of cointegration.

Methods inherited from class java.lang.Object

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

Constructor Detail

JohansenTest

public JohansenTest(JohansenAsymptoticDistribution.Test test,
                    JohansenAsymptoticDistribution.TrendType trend,
                    int dim,
                    int nSim,
                    int nT)

Construct an instance of JohansenTest.

Parameters:

test - the type of Johansen cointegration test

trend - the trend type

dim - the number of (real) eigenvalues

nSim - the number of simulations

nT - the number of discretization levels

JohansenTest

public JohansenTest(JohansenAsymptoticDistribution.Test test,
                    JohansenAsymptoticDistribution.TrendType trend,
                    int dim)

Construct an instance of JohansenTest.

Parameters:

test - the type of Johansen cointegration test

trend - the trend type

dim - the number of (real) eigenvalues

Method Detail

getStats

public ImmutableVector 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