statsmodels.tsa.vector_ar.vecm.VECMResults.stderr_coint¶
-
VECMResults.
stderr_coint
¶ Standard errors of beta and deterministic terms inside the cointegration relation.
Notes
See p. 297 in [R224]. Using the rule
\[vec(B R) = (B' \otimes I) vec(R)\]for two matrices B and R which are compatible for multiplication. This is rule (3) on p. 662 in [R224].
References
[R224] (1, 2, 3) Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.