Assembly: Stat;
Namespace: Prognoz.Platform.Interop.Stat;
The ISmEngleGrangerTest interface is used to work with parameters of the Engle-Granger test.
ISmEngleGrangerTest
The test is based on the assumption that if residuals of cointegration models are not stationary (have single root), there is no time series cointegration.
| Property name | Brief description | |
The AutomaticAROrderSelectionSettings property returns lag autoselection parameters. |
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The AutoRegressionOrder property determines autoregression order. |
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The CointegratingRegressors property returns cointegration regressors. |
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The DeterministicRegressors property returns deterministic regressors. |
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The DFAdjustment property determines whether to take into account the number of degrees of freedom. |
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The Explained property returns the explained series. |
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| The MissingData property returns the method of missing data treatment. | ||
| The ModelCoefficients property returns estimates of model coefficients and their characteristics. | ||
| The ModelPeriod property returns sample period parameters. | ||
| The SummaryStatistics property returns descriptive characteristics of auxiliary regression. | ||
| The TauStat property returns value of t-statistics of the Engle-Granger test. | ||
| The TrendSpecification property determines trend specification. | ||
| The UseAutomaticAROrderSelection property determines whether lag autoselection is to be used. | ||
| The ZStat property returns value of z-statistics of the Engle-Granger test. |
| Property name | Brief description | |
| The DisplayName property returns the displayed method name. | ||
| The ErrorByStatus property returns an error message by the error number. | ||
| The Errors property returns a message with all the errors and warnings. | ||
| The Name property returns the internal method name. | ||
| The Status property returns the method execution status. | ||
| The SupportsR property returns whether statistical method can be calculated via R package. | ||
| The UseR property determines whether statistical method is calculated via the R package. | ||
| The WarningByStatus property returns a warning text by its number. | ||
| The Warnings property returns the warnings that occurred at method calculation. | ||
| The WarningsCount property returns the number of warnings that occurred at the method calculation. | ||
| The WarningsNumbers property returns numbers of warnings that occurred at the method calculation. |
| Method Name | Brief description | |
| The Clone method clones a statistical method object. | ||
| The Execute method executes a statistical method. | ||
| The LoadFromXML method loads statistical method settings from XML code. | ||
| The SaveToXML method unloads statistical method settings to XML code. |
See also: