statsmodels.tsa.vector_ar.vecm.CointRankResults
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class statsmodels.tsa.vector_ar.vecm.CointRankResults(rank, neqs, test_stats, crit_vals, method='trace', signif=0.05)
[source]
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A class for holding the results from testing the cointegration rank.
Parameters: |
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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.
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test_stats (array-like (
rank + 1 if rank < neqs else rank )) – A one-dimensional array-like object containing the test statistics of the conducted tests. -
crit_vals (array-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. -
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.
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Methods