Johansen's Approach is a statistical methodology used to estimate Vector Error Correction Models (VECMs) and test for multiple cointegration relationships among nonstationary and stationary variables.
The Lagrange Multiplier (LM) Test, also known as the score test, is used to test restrictions on parameters within the maximum likelihood framework. It assesses the null hypothesis that the constraints on the parameters hold true.
The likelihood function expresses the probability or probability density of a sample configuration given the joint distribution, focused as a function of parameters, facilitating inferential statistical analysis.
The Likelihood Ratio Test is used to compare the fit of two statistical models using the ratio of their likelihoods, evaluated at their maximum likelihood estimates. It is instrumental in hypothesis testing within the realm of maximum likelihood estimation.
The Wald Test is a statistical method used to test restrictions on unknown parameters in a model using the maximum likelihood estimation.
