statsmodels.tsa.vector_ar.vecm.CointRankResults¶
-
class statsmodels.tsa.vector_ar.vecm.CointRankResults(rank, neqs, test_stats, crit_vals, method=
'trace'
, signif=0.05
)[source]¶ A class for holding the results from testing the cointegration rank.
- Parameters:¶
- rank
int
(0 <= rank <= neqs) The rank to choose according to the Johansen cointegration rank test.
- neqs
int
Number of variables in the time series.
- test_statsarray_like (rank + 1
if
rank < neqselse
rank) A one-dimensional array-like object containing the test statistics of the conducted tests.
- crit_valsarray_like (rank +1
if
rank < neqselse
rank) A one-dimensional array-like object containing the critical values corresponding to the entries in the test_stats argument.
- method
str
, {"trace"
,"maxeig"
}, default:"trace"
If
"trace"
, the trace test statistic is used. If"maxeig"
, the maximum eigenvalue test statistic is used.- signif
float
, {0.1, 0.05, 0.01}, default: 0.05 The test’s significance level.
- rank
Methods
summary
()
Last update:
Oct 29, 2024