arch.unitroot.cointegration.DynamicOLSResults.long_run_variance¶
- property
DynamicOLSResults.long_run_variance¶ The long-run variance of the regression residual.
- Return type
- Returns
float -- The estimated long-run variance of the residual.
The long-run variance is estimated from the model residuals
using the same kernel used to estimate the parameter
covariance.
If df_adjust is True, then the estimator is rescaled by T/(T-m) where
m is the number of regressors in the model.