statsmodels.tsa.vector_ar.vecm.coint_johansen

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

Johansen cointegration test of the cointegration rank of a VECM

Parameters:

  • endog (array_like (nobs_tot x neqs)) – Data to test

  • 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 test’s results. The most important attributes of the result class are:

  • trace_stat and trace_stat_crit_vals

  • max_eig_stat and max_eig_stat_crit_vals

Return type:

JohansenTestResult

Notes

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

See also

statsmodels.tsa.vector_ar.vecm.select_coint_rank

References