Stat Assembly > Stat Assembly Interfaces > IJohansenTestReport

IJohansenTestReport

Description

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.

Properties

	Property name	Brief description
	EigenValue	The EigenValue property returns eigenvalue.
	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%.