Johansen test
id:
johansen-test-293-5951135
title:
Johansen test
text:
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 a single (estimated) cointegrating relationship. There are two types of Johansen test, either with trace or with eigenvalue, and the inferences
brand slug:
wiki
category slug:
encyclopedia
description:
Time series statistical test
original url:
https://en.wikipedia.org/wiki/Johansen_test
date created:
date modified:
2024-03-19T08:19:08Z
main entity:
{"identifier":"Q6217229","url":"https://www.wikidata.org/entity/Q6217229"}
image:
fields total:
13
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14