statsmodels.tsa.vector_ar.vecm.VECMResults.stderr_coint¶

VECMResults.stderr_coint¶

Standard errors of beta and deterministic terms inside the cointegration relation.

Notes

See p. 297 in [1]. Using the rule

$$vec(BR)=(B^{\prime }\otimes I)vec(R)$$

for two matrices B and R which are compatible for multiplication. This is rule (3) on p. 662 in [1].

References

[1] (1,2)

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