ISmEngleGrangerTest

Assembly: Stat;

Namespace: Prognoz.Platform.Interop.Stat;

Description

The ISmEngleGrangerTest interface is used to work with parameters of the Engle-Granger test.

Inheritance Hierarchy

          IStatMethod

          ISmEngleGrangerTest

Comments

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.

Properties

	Property name	Brief description
	AutomaticAROrderSelectionSettings	The AutomaticAROrderSelectionSettings property returns lag autoselection parameters.
	AutoRegressionOrder	The AutoRegressionOrder property determines autoregression order.
	CointegratingRegressors	The CointegratingRegressors property returns cointegration regressors.
	DeterministicRegressors	The DeterministicRegressors property returns deterministic regressors.
	DFAdjustment	The DFAdjustment property determines whether to take into account the number of degrees of freedom.
	Explained	The Explained property returns the explained series.
	MissingData	The MissingData property returns the method of missing data treatment.
	ModelCoefficients	The ModelCoefficients property returns estimates of model coefficients and their characteristics.
	ModelPeriod	The ModelPeriod property returns sample period parameters.
	SummaryStatistics	The SummaryStatistics property returns descriptive characteristics of auxiliary regression.
	TauStat	The TauStat property returns value of t-statistics of the Engle-Granger test.
	TrendSpecification	The TrendSpecification property determines trend specification.
	UseAutomaticAROrderSelection	The UseAutomaticAROrderSelection property determines whether lag autoselection is to be used.
	ZStat	The ZStat property returns value of z-statistics of the Engle-Granger test.

Properties inherited from IStatMethod

	Property name	Brief description
	DisplayName	The DisplayName property returns the displayed method name.
	ErrorByStatus	The ErrorByStatus property returns an error message by the error number.
	Errors	The Errors property returns a message with all the errors and warnings.
	Name	The Name property returns the internal method name.
	PerformanceTime	The PerformanceTime property returns method execution time.
	Status	The Status property returns the method execution status.
	SupportsR	The SupportsR property returns whether statistical method can be calculated via R package.
	UseR	The UseR property determines whether statistical method is calculated via the R package.
	WarningByStatus	The WarningByStatus property returns a warning text by its number.
	Warnings	The Warnings property returns the warnings that occurred at method calculation.
	WarningsCount	The WarningsCount property returns the number of warnings that occurred at the method calculation.
	WarningsNumbers	The WarningsNumbers property returns numbers of warnings that occurred at the method calculation.

Methods inherited from IStatMethod

	Method Name	Brief description
	Clone	The Clone method clones a statistical method object.
	Execute	The Execute method executes a statistical method.
	LoadFromXML	The LoadFromXML method loads statistical method settings from XML code.
	SaveToXML	The SaveToXML method unloads statistical method settings to XML code.

See also:

Stat Assembly Interfaces