The IJohansenTestReport interface returns the results of Johansen test.
To determine the number of cointegral links, you need to compare the value with respect to maximum likelihood to N percent (N=5%, 1%) significance level. When this value is greater than N percent level, we can assume that the hypothesis on the presence of corresponding number (none, 1, 2, … n) of cointegral links to the direction of alternative hypothesis. Alternative hypothesis says that all the series are stationary.
Property name | Brief description | |
EigenValue | The EigenValue property returns proper value. | |
FivePercentCriticalValue | The FivePercentCriticalValue property returns critical value when the significance level is 5%. | |
LikelihoodRatio | The LikelihoodRatio property returns value with respect to maximum likelihood. | |
OnePercentCriticalValue | The OnePercentCriticalValue property returns critical value when the significance level is 1%. |
See also: