The Johansen test is a procedure for testing cointegration of several time series. This test can be used only when all the tested series have the same order of integratedness.
There are tests for the following model options analyzed by Johansen:
| y series | Cointegration equations | Model | |
| 1 | No trend | No constant | |
| 2 | No trend | Constant available | |
| 3 | Linear trend | Constant available | |
See also:
Library of Methods and Models | Cointegrated Processes | ISmJohansenTest | IMsJohansenTestSettings