statsmodels.tsa.vector_ar.vecm.CointRankResults#

class statsmodels.tsa.vector_ar.vecm.CointRankResults(rank, neqs, test_stats, crit_vals, method='trace', signif=0.05)[source]#

A class for holding the results from testing the cointegration rank

Parameters:

rankint (0 <= rank <= neqs): The rank to choose according to the Johansen cointegration rank test.
neqsint: Number of variables in the time series.
test_statssequence of float (rank + 1 if rank < neqs else rank): A one-dimensional sequence containing the test statistics of the conducted tests.
crit_valssequence of float (rank +1 if rank < neqs else rank): A one-dimensional sequence containing the critical values corresponding to the entries in the test_stats argument.
method{“trace”, “maxeig”}, optional: If "trace", the trace test statistic is used. If "maxeig", the maximum eigenvalue test statistic is used.
signif{0.1, 0.05, 0.01}, optional: The test’s significance level.

Methods

summary

Methods