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

rankint (0 <= rank <= neqs): The rank to choose according to the Johansen cointegration rank test.
neqsint: Number of variables in the time series.
test_statsarray_like (rank + 1 if rank < neqs else rank): A one-dimensional array-like object containing the test statistics of the conducted tests.
crit_valsarray_like (rank +1 if rank < neqs else rank): A one-dimensional array-like object containing the critical values corresponding to the entries in the test_stats argument.
methodstr, {"trace", "maxeig"}, default: "trace": If "trace", the trace test statistic is used. If "maxeig", the maximum eigenvalue test statistic is used.
signiffloat, {0.1, 0.05, 0.01}, default: 0.05: The test’s significance level.

Methods

summary

Methods