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- Johansen_test abstract "In statistics, the Johansen test, named after Søren Johansen, is a procedure for testing cointegration of several 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 might be a little bit different. The null hypothesis for the trace test is the number of cointegration vectors r ≤ ?, the null hypothesis for the eigenvalue test is 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 VECM (vector error correction models):1. The longrun VECM:where2. The transitory VECM:whereBe aware that the two are the same. In both VECM(Vector Error Correction Model), Inferences are drawn on Π, and they will be the same, so is the explanatory power.".
- Johansen_test wikiPageID "24339475".
- Johansen_test wikiPageRevisionID "585251426".
- Johansen_test hasPhotoCollection Johansen_test.
- Johansen_test subject Category:Mathematical_finance.
- Johansen_test subject Category:Statistical_tests.
- Johansen_test subject Category:Time_series_analysis.
- Johansen_test type Abstraction100002137.
- Johansen_test type Cognition100023271.
- Johansen_test type Experiment105798043.
- Johansen_test type HigherCognitiveProcess105770664.
- Johansen_test type Inquiry105797597.
- Johansen_test type ProblemSolving105796750.
- Johansen_test type Process105701363.
- Johansen_test type PsychologicalFeature100023100.
- Johansen_test type StatisticalTests.
- Johansen_test type Thinking105770926.
- Johansen_test type Trial105799212.
- Johansen_test comment "In statistics, the Johansen test, named after Søren Johansen, is a procedure for testing cointegration of several I(1) time series.".
- Johansen_test label "Johansen test".
- Johansen_test sameAs m.05szj3b.
- Johansen_test sameAs Q6217229.
- Johansen_test sameAs Q6217229.
- Johansen_test sameAs Johansen_test.
- Johansen_test wasDerivedFrom Johansen_test?oldid=585251426.
- Johansen_test isPrimaryTopicOf Johansen_test.