statsmodels.tsa.vector_ar.vecm.coint_johansen¶
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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: endog : array_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.
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
Notes
The implementation might change to make more use of the existing VECM framework.
References
[R228] Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.