4.1.2 Johansen Cointegration Method

4.1.2 Johansen Cointegration Method
This method uses maximum likelihood test to determine presence of co integrating vectors. The first likelihood ratio statistics is the maximum eigen value statistics and the second one is the trace statistics. Null hypothesis of first one should be exactly r cointegrating vectors against alternative of (r+1) vectors and for latter there should be at most r cointegrating vectors against the alternative.

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4.1.2 Johansen Cointegration Method This method uses maximum likelihood test to determine presence of co integrating vectors. The first likelihood ratio statistics is the maximum eigen value statistics and the second one is the trace statistics. Null hypothesis of first one should be exactly r cointegrating vectors against alternative of (r+1) vectors and for latter there should be at most r cointegrating vectors against the alternative.

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4.1.2 Johansen Metode Kointegrasi
Metode ini menggunakan uji kemungkinan maksimum untuk menentukan adanya vektor co mengintegrasikan. Statistik rasio kemungkinan pertama adalah maksimum eigen statistik nilai dan yang kedua adalah statistik jejak. Hipotesis nol yang pertama harus persis r kointegrasi vektor terhadap alternatif (r + 1) vektor dan untuk yang terakhir harus ada paling r kointegrasi vektor terhadap alternatif.

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