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Stat Assembly > Stat Assembly Classes > SmEngleGrangerTest

SmEngleGrangerTest

Assembly: Stat;

Namespace: Prognoz.Platform.Interop.Stat;

Description

The SmEngleGrangerTest class is used to work with parameters of the Engle-Granger test.

Comments

The test returns value of t-statistics and Z-statistics.

Fore.NET Syntax

Class to get analog of the SmEngleGrangerTest class:

None;

Class to get analog of the SmEngleGrangerTest class object:

SmEngleGrangerTestClass;

Properties inherited from ISmEngleGrangerTest

	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.

See also:

Stat Assembly Classes