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: endog : array_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.
Returns: rank :
CointRankResults
A
CointRankResults
object containing the cointegration rank suggested by the test and allowing a summary to be printed.