| Interface | Description |
|---|---|
| JohansenAsymptoticDistribution.F |
This is a filtration function.
|
| 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 | Description |
|---|---|
| JohansenAsymptoticDistribution.Test |
the types of Johansen cointegration tests available
|
| JohansenAsymptoticDistribution.TrendType |
the types of trends available
|