The tool supports interface of Foresight Analytics Platform 9 or earlier.
Johansen test is used to test time series cointegration. The Johansen Test panel shows the calculation of this test:
To determine the number of cointegration relations, compare the value of the relative maximum likelihood to the N percent (N=5%, 1%) significance level: if this value is greater than the N percent level, it is assumed that the hypothesis of the corresponding number (no, 1, 2, … n) of cointegration relations tends towards the alternative hypothesis. The alternative hypothesis states that all the series are stationary.
Percentage significance levels are shown in the Critical Value 5% and Critical Value 1% boxes.
See also: