statsmodels.tsa.vector_ar.vecm.JohansenTestResult¶

class statsmodels.tsa.vector_ar.vecm.JohansenTestResult(rkt, r0t, eig, evec, lr1, lr2, cvt, cvm, ind)[source]¶

Results class for Johansen’s cointegration test

Attributes:¶

cvm

Critical values (90%, 95%, 99%) of maximum eigenvalue statistic.

cvt

Critical values (90%, 95%, 99%) of trace statistic

eig

Eigenvalues of VECM coefficient matrix

evec

Eigenvectors of VECM coefficient matrix

ind

Order of eigenvalues

lr1

Trace statistic

lr2

Maximum eigenvalue statistic

max_eig_stat

Maximum eigenvalue statistic

max_eig_stat_crit_vals

Critical values (90%, 95%, 99%) of maximum eigenvalue statistic.

meth

Test method

r0t

Residuals for \(\Delta Y\).

rkt

Residuals for \(Y_{-1}\)

trace_stat

Trace statistic

trace_stat_crit_vals

Critical values (90%, 95%, 99%) of trace statistic

Notes

See p. 292 in [1] for r0t and rkt

References

[1]

Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.

Methods

Properties

cvm	Critical values (90%, 95%, 99%) of maximum eigenvalue statistic.
cvt	Critical values (90%, 95%, 99%) of trace statistic
eig	Eigenvalues of VECM coefficient matrix
evec	Eigenvectors of VECM coefficient matrix
ind	Order of eigenvalues
lr1	Trace statistic
lr2	Maximum eigenvalue statistic
max_eig_stat	Maximum eigenvalue statistic
max_eig_stat_crit_vals	Critical values (90%, 95%, 99%) of maximum eigenvalue statistic.
meth	Test method
r0t	Residuals for \(\Delta Y\).
rkt	Residuals for \(Y_{-1}\)
trace_stat	Trace statistic
trace_stat_crit_vals	Critical values (90%, 95%, 99%) of trace statistic