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