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How to do the Johansen cointegration test in MATLAB?
[h,pValue,stat,cValue,mles] = jcitest (Y,Name,Value) performs the Johansen cointegration test on a data matrix Y with additional options specified by one or more Name,Value pair arguments. numObs -by- numDims matrix representing numObs observations of a numDims -dimensional time series yt , with the last observation the most recent.
Which is the default value for the Johansen cointegration test?
Character vector, such as ‘trace’, or cell vector of character vectors indicating the type of test to be performed. Values are ‘trace’ or ‘maxeig’ . The default value is ‘trace’. Both tests assess the null hypothesis H(r) of cointegration rank less than or equal to r.
How to see the results of a cointegration test?
Display a summary of test results. Null ranks r = 0: numDims − 1 are displayed in the first column of each summary. Multiple tests are displayed in separate summaries.
How is the Engel-Granger method used in cointegration?
The Engel-Granger method tests for individual cointegrating relationships and estimates their parameters. Johansen methods test for multiple cointegrating relationships, and estimate parameters in corresponding vector error-correction (VEC) models.
How to do the Johansen cointegration test with jcitest?
The tests also produce maximum likelihood estimates of the parameters in a vector error-correction (VEC) model of the cointegrated series. [h,pValue,stat,cValue,mles] = jcitest (Y) performs the Johansen cointegration test on a data matrix Y.
Which is the null hypothesis in the Johansen test?
Johansen tests assess the null hypothesis H(r) of cointegration rank less than or equal to r among the numDims-dimensional time series in Y against alternatives H(numDims) (trace test) or H(r+1) (maxeig test). The tests also produce maximum likelihood estimates of the parameters in a vector error-correction (VEC) model of the cointegrated series.
Which is the null rank for jcitest in MATLAB?
Null ranks r = 0: numDims − 1 are displayed in the first column of each summary. Multiple tests are displayed in separate summaries. This is the default if jcitest is called with more than one output argument (that is, if pValue is computed), and is unavailable if jcitest is called with only one output argument ( h ).