statsmodels.tsa.vector_ar.vecm.coint_johansen¶

statsmodels.tsa.vector_ar.vecm.coint_johansen(endog, det_order, k_ar_diff)[source]¶

Johansen cointegration test of the cointegration rank of a VECM

Parameters:¶

endog : array_like (nobs_tot x neqs)¶

Data to test

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.

Returns:¶

result – An object containing the test’s results. The most important attributes of the result class are:

• trace_stat and trace_stat_crit_vals

• max_eig_stat and max_eig_stat_crit_vals

Return type:¶

JohansenTestResult

Notes

The implementation might change to make more use of the existing VECM framework.

See also

statsmodels.tsa.vector_ar.vecm.select_coint_rank

References