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:
- endogarray_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
str
, {"trace"
,"maxeig"
}, default:"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.
- endogarray_like (
- Returns:
- rank
CointRankResults
A
CointRankResults
object containing the cointegration rank suggested by the test and allowing a summary to be printed.
- rank