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 | |
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. |
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. |
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: