ISmEngleGrangerTest

Assembly: Stat;

Description

The ISmEngleGrangerTest interface is used to work with parameters of the Engle-Granger test.

Inheritance Hierarchy

          IStatMethod

          ISmEngleGrangerTest

Comments

The test is based on the assumption that if residuals of cointegration models are not stationary (have single root), there is no time series cointegration.

Properties

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

Properties inherited from IStatMethod

  Property name Brief description
DisplayName The DisplayName property returns the displayed method name.
ErrorByStatus The ErrorByStatus property returns an error message by the error number.
Errors The Errors property returns a message with all the errors and warnings.
Name The Name property returns the internal method name.
PerformanceTime The PerformanceTime property returns method execution time.
Status The Status property returns the method execution status.
SupportsR The SupportsR property returns whether statistical method can be calculated via R package.
UseR The UseR property determines whether statistical method is calculated via the R package.
WarningByStatus The WarningByStatus property returns a warning text by its number.
Warnings The Warnings property returns the warnings that occurred on method calculation.
WarningsCount The WarningsCount property returns the number of warnings that occurred on method calculation.
WarningsNumbers The WarningsNumbers property returns numbers of the warnings that occurred on method calculation.

Methods inherited from IStatMethod

  Method Name Brief description
Clone The Clone method clones a statistical method object.
Execute The Execute method executes a statistical method.
LoadFromXML The LoadFromXML method loads statistical method settings from XML code.
SaveToXML The SaveToXML method unloads statistical method settings to XML code.

See also:

Stat Assembly Interfaces