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:
rankint (0 <= rank <= neqs)

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

neqsint

Number of variables in the time series.

test_statsarray_like (rank + 1 if rank < neqs else rank)

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

crit_valsarray_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.

methodstr, {"trace", "maxeig"}, default: "trace"

If "trace", the trace test statistic is used. If "maxeig", the maximum eigenvalue test statistic is used.

signiffloat, {0.1, 0.05, 0.01}, default: 0.05

The test’s significance level.

Methods

summary()


Last update: Apr 12, 2024