statsmodels.tsa.vector_ar.vecm.JohansenTestResult

class statsmodels.tsa.vector_ar.vecm.JohansenTestResult(rkt, r0t, eig, evec, lr1, lr2, cvt, cvm, ind)

Results class for Johansen’s cointegration test

Notes

See p. 292 in [Rdb8d6a7c069c-1] for r0t and rkt

References

Rdb8d6a7c069c-1

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

Methods

Properties

cvm	Critical values (90%, 95%, 99%) of maximum eigenvalue statistic.
cvt	Critical values (90%, 95%, 99%) of trace statistic
eig	Eigenvalues of VECM coefficient matrix
evec	Eigenvectors of VECM coefficient matrix
ind	Order of eigenvalues
lr1	Trace statistic
lr2	Maximum eigenvalue statistic
max_eig_stat	Maximum eigenvalue statistic
max_eig_stat_crit_vals	Critical values (90%, 95%, 99%) of maximum eigenvalue statistic.
meth	Test method
r0t	Residuals for \(\Delta Y\).
rkt	Residuals for \(Y_{-1}\)
trace_stat	Trace statistic
trace_stat_crit_vals	Critical values (90%, 95%, 99%) of trace statistic