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_order
int
-1 - no deterministic terms
0 - constant term
1 - linear trend
- k_ar_diff
int
,nonnegative
Number of lagged differences in the model.
- endogarray_like (
- Returns
- result
JohansenTestResult
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
- result
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.