This is a filtration function.
Two or more time series are cointegrated if they each share a common type of stochastic drift, that is, to a limited degree they share a certain type of behavior in terms of their long-term fluctuations, but they do not necessarily move together and may be otherwise unrelated.
The maximum number of cointegrating relations among a multivariate time series is the rank of the Π matrix.
the available types of Johansen cointegration tests
the available types of trends
Copyright © 2010-2018 Numerical Method Incorporation Limited. All Rights Reserved.