com.numericalmethod.suanshu.stats.cointegration
Class JohansenAsymptoticDistributionSimulation

java.lang.Object
  com.numericalmethod.suanshu.stats.cointegration.JohansenAsymptoticDistributionSimulation

public class JohansenAsymptoticDistributionSimulation
extends java.lang.Object

This class computes the asymptotic distributions of Johansen's tests by Monte Carlo simulation.

Nested Class Summary

static interface

JohansenAsymptoticDistributionSimulation.F

Constructor Summary

JohansenAsymptoticDistributionSimulation(JohansenAsymptoticDistribution.Test test, JohansenAsymptoticDistributionSimulation.F F, int dr, long seed, int nSim, int nT)

Method Summary

double[]

simulation()

Methods inherited from class java.lang.Object

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

Constructor Detail

JohansenAsymptoticDistributionSimulation

public JohansenAsymptoticDistributionSimulation(JohansenAsymptoticDistribution.Test test,
                                                JohansenAsymptoticDistributionSimulation.F F,
                                                int dr,
                                                long seed,
                                                int nSim,
                                                int nT)

Method Detail

simulation

public double[] simulation()