arch.unitroot.cointegration.CointegrationAnalysisResults.residual_variance¶
- property
CointegrationAnalysisResults.
residual_variance
¶ The variance of the regression residual.
- Returns
The estimated residual variance.
- Return type
Notes
The residual variance only accounts for the short-run variance of the residual and does not account for any autocorrelation. It is defined as
\[\hat{\sigma}^2 = T^{-1} \sum _{t=p}^{T-q} \hat{\epsilon}_t^2\]If df_adjust is True, then the estimator is rescaled by T/(T-m) where m is the number of regressors in the model.