To install click the Add extension button. That's it.

The source code for the WIKI 2 extension is being checked by specialists of the Mozilla Foundation, Google, and Apple. You could also do it yourself at any point in time.

4,5
Kelly Slayton
Congratulations on this excellent venture… what a great idea!
Alexander Grigorievskiy
I use WIKI 2 every day and almost forgot how the original Wikipedia looks like.
Live Statistics
English Articles
Improved in 24 Hours
Added in 24 Hours
Languages
Recent
Show all languages
What we do. Every page goes through several hundred of perfecting techniques; in live mode. Quite the same Wikipedia. Just better.
.
Leo
Newton
Brights
Milds

From Wikipedia, the free encyclopedia

In statistics, the Johansen test,[1] named after Søren Johansen, is a procedure for testing cointegration of several, say k, I(1) time series.[2] 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 a single (estimated) cointegrating relationship.[3]

There are two types of Johansen test, either with trace or with eigenvalue, and the inferences might be a little bit different.[4] The null hypothesis for the trace test is that the number of cointegration vectors is r = r* < k, vs. the alternative that r = k. Testing proceeds sequentially for r* = 1,2, etc. and the first non-rejection of the null is taken as an estimate of r. The null hypothesis for the "maximum eigenvalue" test is as for the trace test but the alternative is r = r* + 1 and, again, testing proceeds sequentially for r* = 1,2,etc., with the first non-rejection used as an estimator for r.

Just like a unit root test, there can be a constant term, a trend term, both, or neither in the model. For a general VAR(p) model:

There are two possible specifications for error correction: that is, two vector error correction models (VECM):

1. The longrun VECM:

where

2. The transitory VECM:

where

The two are the same. In both VECM,

Inferences are drawn on Π, and they will be the same, so is the explanatory power.[citation needed]

YouTube Encyclopedic

  • 1/5
    Views:
    64 198
    19 544
    6 577
    35 508
    5 060
  • (EViews10):Estimate Johansen Cointegration Test #var #vecm #Johansen #cointegration
  • Johansen Cointegration Test in R
  • Econometrics - Vector Error Correction Model: Johansen Test
  • (Stata13): How to Perform Johansen Cointegration Test #var #vecm #Johansen #cointegration
  • Johansen Cointegration Procedure using STATA (English)

Transcription

References

  1. ^ Johansen, Søren (1991). "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models". Econometrica. 59 (6): 1551–1580. doi:10.2307/2938278. JSTOR 2938278.
  2. ^ For the presence of I(2) variables see Ch. 9 of Johansen, Søren (1995). Likelihood-based Inference in Cointegrated Vector Autoregressive Models. Oxford University Press. ISBN 978-0-19-877450-1.
  3. ^ Davidson, James (2000). Econometric Theory. Wiley. ISBN 0-631-21584-0.
  4. ^ Hänninen, R. (2012). "The Law of One Price in United Kingdom Soft Sawnwood Imports – A Cointegration Approach". Modern Time Series Analysis in Forest Products Markets. Springer. p. 66. ISBN 978-94-011-4772-9.

Further reading


This page was last edited on 19 March 2024, at 08:19
Basis of this page is in Wikipedia. Text is available under the CC BY-SA 3.0 Unported License. Non-text media are available under their specified licenses. Wikipedia® is a registered trademark of the Wikimedia Foundation, Inc. WIKI 2 is an independent company and has no affiliation with Wikimedia Foundation.