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Johansen test
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<p>In <a href="/facts/Statistics/DNPsKGYU">statistics</a>, the Johansen test, named after <a href="/facts/S%C3%B8ren_Johansen/D0mdp6oG">Søren Johansen</a>, is a procedure for testing <a href="/facts/Cointegration/na815pCW">cointegration</a> of several, say <i>k</i>, <a href="/facts/Order_of_integration/Y8WBTpXj">I(1)</a> <a href="/facts/Time_series/fSXPR817">time series</a>. This test permits more than one cointegrating relationship so is more generally applicable than the <a href="/facts/Cointegration/na815pCW">Engle-Granger test</a> which is based on the <a href="/facts/Dickey%E2%80%93Fuller_test/eWz9P4Ty">Dickey–Fuller</a> (or the <a href="/facts/Augmented_Dickey%E2%80%93Fuller_test/Du639qXu">augmented</a>) test for <a href="/facts/Unit_root/huh7xB9P">unit roots</a> in the residuals from a single (estimated) cointegrating relationship. </p>