Stat Assembly > Stat Assembly Interfaces > ISmEngleGrangerTest
Assembly: Stat;
The ISmEngleGrangerTest interface is used to work with parameters of the Engle-Granger test.
ISmEngleGrangerTest
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.
| 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. |
| Property name | Brief description | |
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DisplayName | The DisplayName property returns the displayed method name. |
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ErrorByStatus | The ErrorByStatus property returns an error message by the error number. |
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Errors | The Errors property returns a message with all the errors and warnings. |
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Name | The Name property returns the internal method name. |
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PerformanceTime | The PerformanceTime property returns method execution time. |
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Status | The Status property returns the method execution status. |
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SupportsR | The SupportsR property returns whether statistical method can be calculated via R package. |
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UseR | The UseR property determines whether statistical method is calculated via the R package. |
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WarningByStatus | The WarningByStatus property returns a warning text by its number. |
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Warnings | The Warnings property returns the warnings that occurred on method calculation. |
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WarningsCount | The WarningsCount property returns the number of warnings that occurred on method calculation. |
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WarningsNumbers | The WarningsNumbers property returns numbers of the warnings that occurred on method calculation. |
| Method Name | Brief description | |
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Clone | The Clone method clones a statistical method object. |
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Execute | The Execute method executes a statistical method. |
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LoadFromXML | The LoadFromXML method loads statistical method settings from XML code. |
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SaveToXML | The SaveToXML method unloads statistical method settings to XML code. |
See also:
