statsmodels.tsa.vector_ar.vecm.select_coint_rank

statsmodels.tsa.vector_ar.vecm.select_coint_rank(endog, det_order, k_ar_diff, method='trace', signif=0.05)[source]

Calculate the cointegration rank of a VECM.

Parameters
  • endog (array-like (nobs_tot x neqs)) – The data with presample.

  • det_order (int) –

    • -1 - no deterministic terms

    • 0 - constant term

    • 1 - linear trend

  • k_ar_diff (int, nonnegative) – Number of lagged differences in the model.

  • 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.

Returns

rank – A CointRankResults object containing the cointegration rank suggested by the test and allowing a summary to be printed.

Return type

CointRankResults