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