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Johansen test

In statistics, the Johansen test, named after Søren Johansen, is a procedure for testing cointegration of several, say k, I(1) time series. This test permits more than one cointegrating relationship so is more generally applicable than the Engle-Granger test which is based on the Dickey–Fuller (or the augmented) test for unit roots in the residuals from…

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Types

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Johansen test

Nodes16
Edges15
Triples7
Avg. degree1.88
Density0.125
Components1

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Johansen test

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related to Types · 7
Johansen test → For, Johansen, Just, Testing, The, There, VAR

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Important terminology

test cointegration isbn unit vecm university press pp testing roots trace two null new york oxford johansen types eigenvalue statistics

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SubjectPredicateObjectConfidenceSrc
Johansen testrelated to TypesThere0.60section
Johansen testrelated to TypesJohansen0.60section
Johansen testrelated to TypesThe0.60section
Johansen testrelated to TypesTesting0.60section
Johansen testrelated to TypesJust0.60section
Johansen testrelated to TypesFor0.60section
Johansen testrelated to TypesVAR0.60section

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