The Johansen Test is a statistical method used to determine the presence and number of cointegration relationships among multiple time series. This test is particularly useful because it can handle more than two time series at once, allowing researchers to understand the long-run relationships between them. Its significance lies in its ability to identify whether a linear combination of non-stationary time series can produce a stationary series, which is crucial for building error correction models.
congrats on reading the definition of Johansen Test. now let's actually learn it.