arch.unitroot.cointegration.EngleGrangerTestResults.rho

property EngleGrangerTestResults.rho

The estimated coefficient in the Dickey-Fuller Test

Returns

The coefficient.

Return type

float

Notes

The value returned is \(\hat{\rho}=\hat{\gamma}+1\) from the ADF regression

\[\Delta y_t = \gamma y_{t-1} + \sum_{i=1}^p \delta_i \Delta y_{t-i} + \epsilon_t\]