Keywords

#johansen_test

Johansen test

Time series statistical test

In statistics, the Johansen test, named after Søren Johansen, is a procedure for testing cointegration of several, say k, I(1) time series. This test permits more than one cointegrating relationship so is more generally applicable than the Engle–Granger test which is based on the Dickey–Fuller test for unit roots in the residuals from a single (estimated) cointegrating relationship.

Tue 19th

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Johansen test Cointegration Likelihood-ratio test Error correction model Pairs trade Chi-squared test Graphics Turing test A/B testing Student's t-test Kolmogorov–Smirnov test
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