com.numericalmethod.suanshu.stats.cointegration
Class JohansenTest

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

public class JohansenTest
extends java.lang.Object

This class provides the Johansen distributions of specific types up to a certain dimension. It is used to perform multiple similar Johansen tests without having to reconstruct the distributions repeatedly.

This class also provides an easy to use wrapper around the CointegrationMle object to extract useful information such as:

• the rank
• the cointegrating factor

Constructor Summary

JohansenTest(CointegrationMle cointegrationMle)
Construct a specific JohansenTest appropriate for a particular CointegrationMle object.

JohansenTest(JohansenAsymptoticDistribution.Test test, JohansenAsymptoticDistribution.TrendType trend, int dim)
Construct a specific JohansenTest.

JohansenTest(JohansenAsymptoticDistribution.Test test, JohansenAsymptoticDistribution.TrendType trend, int dim, int nSim, int nT)
Construct a specific JohansenTest.

Method Summary

int	r(CointegrationMle cointegrationMle, 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 a specific JohansenTest.

Parameters:

test - the types of Johansen's cointegration test

trend - the types of trends

dim - the number of (real) eigenvalues

nSim - the number of simulations

nT - the number of discretizations

JohansenTest

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

Construct a specific JohansenTest.

Parameters:

test - the types of Johansen's cointegration test

trend - the types of trends

dim - the number of (real) eigenvalues

JohansenTest

public JohansenTest(CointegrationMle cointegrationMle)

Construct a specific JohansenTest appropriate for a particular CointegrationMle object.

Parameters:

cointegrationMle - a CointegrationMle object

Method Detail

r

public int r(CointegrationMle cointegrationMle,
             double level)

Get the (most likely) order of cointegration.

Parameters:

cointegrationMle - the CointegrationMle object

level - the confidence level, i.e., 1 - quantile

Returns:

the order of cointegration