IMsMetaModelVisualController.JohansenTest

Syntax

Description

The JohansenTest property returns parameters of the Johansen test calculation

Comments

Use the IMsJohansenTestSettings interface to set up calculation options.

Example

Executing the example requires that the repository contains a modeling container with the MS identifier containing a modeling problem with the WEB_PROBLEM identifier. The task must contain the internal metamodel. The metamodel must contain not less than three internal variables.

Add links to the Metabase, Ms, Stat system assemblies.

Sub JohansenTest;
Var
    mb: IMetabase;
    msKey: Integer;
    Problem: IMsProblem;
    Meta: IMsMetaModel;
    MetaVisual: IMsMetaModelVisualController;
    ChainEnts: IMsCalculationChainEntries;
    ChainEl: IMsCalculationChainEntry;
    Test: IMsVariableTest;
    CommonSett: IMsVariableTestSettings;
    InclSrc: IMsVariableTestDataList;
    VarArray: Array Of Variant;
    i, j: Integer;
    TestData: IMsVariableTestData;
    Johansen: IMsJohansenTestSettings;
    TestRes: IMsVariableTestResults;
    Res: Array;
Begin
    mb := MetabaseClass.Active;
    // Get modelling container key
    msKey := mb.GetObjectKeyById("MS");
    // Get modeling problem
    Problem := mb.ItemByIdNamespace("WEB_PROBLEM", msKey).Bind As IMsProblem;
    // Get metamodel
    Meta := Problem.MetaModel;
    MetaVisual := Meta.VisualController;
    // Get time metamodels
    ChainEnts := Meta.CalculationChain;
    j := 0;
    VarArray := New Variant[ChainEnts.Count];
    For i := 0 To ChainEnts.Count - 1 Do
        ChainEl := ChainEnts.Item(i);
        If ChainEl.Type = MsCalculationChainEntryType.Variable Then
            VarArray[j] := ChainEl;
            j := j + 1;
        End If;
    End For;
    // Set endogenous variables for test calculation
    For i := 1 To j - 1 Do
        ChainEl := VarArray[i] As IMsCalculationChainEntry;
        MetaVisual.AddTestIncludedEntrie(ChainEl.Key, MsVariableTestType.Johansen);
    End For;
    // Set exogenous variables for test calculation
    ChainEl := VarArray[0] As IMsCalculationChainEntry;
    MetaVisual.AddJohansenTestExogenousEntrie(ChainEl.Key);
    // Set common parameters of calculating the descriptive statistics
    Test := MetaVisual.JohansenTest;
    CommonSett := Test.Settings;
    // Calculation period
    CommonSett.StartDate := DateTime.Parse("01.01.1990");
    CommonSett.EndDate := DateTime.Parse("01.01.2015");
    // Method of missing data treatment
    CommonSett.MissingData.Method := MissingDataMethod.LinTrend;
    // Set Johnsen test calculation parameters
    Johansen := CommonSett As IMsJohansenTestSettings;
    // Determinenbsp;autoregressionnbsp;order
    Johansen.AutoRegressionOrder := "1";
    // Set the type of error correction model
    Johansen.ModelType := ECMType.TrendTrend;
    // Display the information about the tested variables
    InclSrc := Johansen.IncludedSources;
    Debug.WriteLine("Endogenous variables:");
    For i := 0 To InclSrc.Count - 1 Do
        TestData := InclSrc.Item(i);
        Debug.WriteLine("    " + TestData.Name);
    End For;
    Debug.WriteLine("Exogenous variable:");
    InclSrc := Johansen.ExogenousSources;
    TestData := InclSrc.Item(0);
    Debug.WriteLine("    " + TestData.Name);
    // Perform calculation of the test
    TestRes := Test.Execute;
    // Output results
    If TestRes.Error <> "" Then
        Debug.WriteLine(TestRes.Error);
    Else
        Res := TestRes.ResValueMatrix;
        Debug.WriteLine("");
        Debug.WriteLine("Johansen test");
        Debug.WriteLine("");
        For i := 0 To Res.GetUpperBound(1) Do
            Select Case i
                Case 0: Debug.Write("Links: ");
                Case 1: Debug.Write("Eigenvalue: ");
                Case 2: Debug.Write("Maximum likehood ratio: ");
                Case 3: Debug.Write("Critical value is 1%: ");
                Case 4: Debug.Write("   Hypothesis is accepted: ");
                Case 5: Debug.Write("Critical value is 5%: ");
                Case 6: Debug.Write("   Hypothesis is accepted: ");
                Case 7: Debug.Write("Critical value is 10%: ");
                Case 8: Debug.Write("    Hypothesis is accepted: ");
                Case 9: Debug.Write("Probability: ");
            End Select;
            For j := 0 To Res.GetUpperBound(2) Do
                Debug.Write(Res[i, j]); Debug.Write(";    ");
            End For;
            Debug.WriteLine("");
        End For;
    End If;
End Sub JohansenTest;

Example execution result: the Johansen test is calculated for all variables which are contained in the metamodel calculation chain. The results are displayed in the console window.