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: rank : int (0 <= rank <= neqs)
The rank to choose according to the Johansen cointegration rank test.
neqs : int
Number of variables in the time series.
test_stats : array-like (rank + 1 if rank < neqs else rank)
A one-dimensional array-like object containing the test statistics of the conducted tests.
crit_vals : array-like (rank +1 if rank < neqs else rank)
A one-dimensional array-like object containing the critical values corresponding to the entries in the test_stats argument.
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.
Methods
summary
()