statsmodels.tsa.vector_ar.vecm.coint_johansen

statsmodels.tsa.vector_ar.vecm.coint_johansen(endog, det_order, k_ar_diff) [source]

Perform the Johansen cointegration test for determining the cointegration rank of a VECM.

Parameters:	endog (array-like (nobs_tot x neqs)) – The data with presample. 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 – An object containing the results which can be accessed using dot-notation. The object’s attributes are eig: (neqs) Eigenvalues. evec: (neqs x neqs) Eigenvectors. lr1: (neqs) Trace statistic. lr2: (neqs) Maximum eigenvalue statistic. cvt: (neqs x 3) Critical values (90%, 95%, 99%) for trace statistic. cvm: (neqs x 3) Critical values (90%, 95%, 99%) for maximum eigenvalue statistic. method: str “johansen” r0t: (nobs x neqs) Residuals for \(\Delta Y\). See p. 292 in [1]. rkt: (nobs x neqs) Residuals for \(Y_{-1}\). See p. 292 in [1]. ind: (neqs) Order of eigenvalues.
Return type:	Holder

Notes

The implementation might change to make more use of the existing VECM framework.

References

[1]	(1, 2) Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.