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