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: |
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Returns: |
result – An object containing the results which can be accessed using dot-notation. The object’s attributes are
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Return type: |
Holder |
The implementation might change to make more use of the existing VECM framework.
[1] | (1, 2) Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer. |
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.vector_ar.vecm.coint_johansen.html