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:¶

rank¶

The rank to choose according to the Johansen cointegration rank test.

neqs : int¶

Number of variables in the time series.

test_stats¶

A one-dimensional array-like object containing the test statistics of the conducted tests.

crit_vals¶

A one-dimensional array-like object containing the critical values corresponding to the entries in the test_stats argument.

method='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.

Methods

summary()