Zapis dokaza metode

Johansen Cointegration Test

The Johansen procedure is a multivariate cointegration framework, introduced by Søren Johansen in 1991, that tests for long-run equilibrium relationships among several I(1) time series. It determines how many cointegrating vectors link the series and then builds a Vector Error Correction Model (VECM) to describe the short-run dynamics around that equilibrium.

Sources recorded, not reviewed

Izvorni zapis

Citati kopirani doslovno iz izvornog zapisa metode. Ne impliciraju nikakvu provjeru na razini tvrdnje.

Johansen Cointegration Test and Vector Error Correction Model (VECM)

Taksonomski zapis metode · regression-model / finance

Johansen, S. (1991). Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59(6), 1551-1580. · DOI 10.2307/2938278
Johansen, S. (1995). Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford University Press. · ISBN 978-0198774501

Otvori cijelu metodu

Uređene tvrdnje

Tvrdnje pohranjene u knjigu dokaza, svaka s vlastitom procjenom.

Nema uređenih tvrdnji

Ovaj prikaz ne izmišlja procjenu tvrdnje kada knjiga dokaza nema nijednu.

Povezane metode

Generirano iz grafa metode i prikazano kao strojno predložene relacije — ne implicira se nikakva tvrdnja dokaza.

Same method familyARDL Bounds Testmachine-suggested · Relational suggestion, not evidence.Same method familyARIMAmachine-suggested · Relational suggestion, not evidence.Same method familyVAR Modelmachine-suggested · Relational suggestion, not evidence.