检验协整
egcitest

Engle-Granger cointegration test
Syntax

[h,pValue,stat,cValue,reg1,reg2] = egcitest(Y)
[h,pValue,stat,cValue,reg1,reg2] = egcitest(Y,Name,Value)
Description

Engle-Granger tests assess the null hypothesis of no cointegration among the time series in Y. The test regresses Y(:,1) on Y(:,2:end), then tests the residuals for a unit root.

[h,pValue,stat,cValue,reg1,reg2] = egcitest(Y) performs the Engle-Granger test on a data matrix Y.

[h,pValue,stat,cValue,reg1,reg2] = egcitest(Y,Name,Value) performs the Engle-Granger test on a data matrix Y with additional options specified by one or more Name,Value pair arguments.