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:
endogarray_like (nobs_tot x neqs)

Data to test

det_orderint

  • -1 - no deterministic terms

  • 0 - constant term

  • 1 - linear trend

k_ar_diffint, nonnegative

Number of lagged differences in the model.

Returns:
resultJohansenTestResult

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

See also

statsmodels.tsa.vector_ar.vecm.select_coint_rank

Notes

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

References

[1]

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