statsmodels.tsa.vector_ar.vecm.JohansenTestResult

class statsmodels.tsa.vector_ar.vecm.JohansenTestResult(rkt, r0t, eig, evec, lr1, lr2, cvt, cvm, ind)[source]

Results class for Johansen’s cointegration test

Notes

See p. 292 in [1] for r0t and rkt

References

[1]

Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.

Attributes:
cvm

Critical values (90%, 95%, 99%) of maximum eigenvalue statistic.

cvt

Critical values (90%, 95%, 99%) of trace statistic

eig

Eigenvalues of VECM coefficient matrix

evec

Eigenvectors of VECM coefficient matrix

ind

Order of eigenvalues

lr1

Trace statistic

lr2

Maximum eigenvalue statistic

max_eig_stat

Maximum eigenvalue statistic

max_eig_stat_crit_vals

Critical values (90%, 95%, 99%) of maximum eigenvalue statistic.

meth

Test method

r0t

Residuals for \(\Delta Y\).

rkt

Residuals for \(Y_{-1}\)

trace_stat

Trace statistic

trace_stat_crit_vals

Critical values (90%, 95%, 99%) of trace statistic

Methods

Properties

cvm

Critical values (90%, 95%, 99%) of maximum eigenvalue statistic.

cvt

Critical values (90%, 95%, 99%) of trace statistic

eig

Eigenvalues of VECM coefficient matrix

evec

Eigenvectors of VECM coefficient matrix

ind

Order of eigenvalues

lr1

Trace statistic

lr2

Maximum eigenvalue statistic

max_eig_stat

Maximum eigenvalue statistic

max_eig_stat_crit_vals

Critical values (90%, 95%, 99%) of maximum eigenvalue statistic.

meth

Test method

r0t

Residuals for \(\Delta Y\).

rkt

Residuals for \(Y_{-1}\)

trace_stat

Trace statistic

trace_stat_crit_vals

Critical values (90%, 95%, 99%) of trace statistic


Last update: Apr 12, 2024