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Class Summary |
| 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 |
This class represents the asymptotic distribution of Johansen's tests JohansenAsymptoticDistribution.Test for 5 different cases. |
| JohansenAsymptoticDistributionSimulation |
This class computes the asymptotic distributions of Johansen's tests by Monte Carlo simulation. |
| JohansenTest |
This class provides the Johansen distributions of specific types up to a certain dimension. |