statsmodels.tsa.vector_ar.vecm.JohansenTestResult

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

Results class for Johansen’s cointegration test

Notes

See p. 292 in [R210] for r0t and rkt

References

[R210](1, 2) Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.

Attributes

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

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