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=
'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
CointRankResultsobject containing the cointegration rank suggested by the test and allowing a summary to be printed.- Return type:¶