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 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:

Stat Assembly Interfaces | ISmJohansenTest