statsmodels.tsa.vector_ar.vecm.coint_johansen¶
-
statsmodels.tsa.vector_ar.vecm.coint_johansen(endog, det_order, k_ar_diff)[source]¶ Perform the Johansen cointegration test for determining the cointegration rank of a VECM.
- Parameters
- endogarray-like (nobs_tot x neqs)
The data with presample.
- det_orderint
-1 - no deterministic terms
0 - constant term
1 - linear trend
- k_ar_diffint, nonnegative
Number of lagged differences in the model.
- Returns
- resultHolder
An object containing the results which can be accessed using dot-notation. The object’s attributes are
eig: (neqs)
Eigenvalues.
evec: (neqs x neqs)
Eigenvectors.
lr1: (neqs)
Trace statistic.
lr2: (neqs)
Maximum eigenvalue statistic.
cvt: (neqs x 3)
Critical values (90%, 95%, 99%) for trace statistic.
cvm: (neqs x 3)
Critical values (90%, 95%, 99%) for maximum eigenvalue statistic.
method: str “johansen”
r0t: (nobs x neqs)
Residuals for \(\Delta Y\). See p. 292 in [1].
rkt: (nobs x neqs)
Residuals for \(Y_{-1}\). See p. 292 in [1].
ind: (neqs)
Order of eigenvalues.
Notes
The implementation might change to make more use of the existing VECM framework.
References