arch.unitroot.cointegration.CointegrationAnalysisResults¶

class arch.unitroot.cointegration.CointegrationAnalysisResults(params: Series, cov: DataFrame, resid: Series, omega_112: float, kernel_est: CovarianceEstimator, num_x: int, trend: 'n' | 'c' | 'ct' | 'ctt', df_adjust: bool, rsquared: float, rsquared_adj: float, estimator_type: str)[source]¶

Estimation results for cointegrating vector estimators.

Returned by the fit method of FullyModifiedOLS and CanonicalCointegratingReg.

Parameters:¶

params: Series¶

The estimated model parameters.

cov: DataFrame¶

The estimated parameter covariance.

resid: Series¶

The model residuals.

omega_112: float¶

The long-run variance estimate used in the parameter covariance estimator.

kernel_est: CovarianceEstimator¶

The covariance estimator instance used to estimate the long-run variance of the residuals.

num_x: int¶

The number of right-hand-side variables in the cointegrating regression.

trend: 'n' | 'c' | 'ct' | 'ctt'¶

The trend included in the cointegrating regression.

df_adjust: bool¶

Whether the parameter covariance was adjusted for degrees of freedom.

rsquared: float¶

The model R-squared.

rsquared_adj: float¶

The degree-of-freedom adjusted R-squared.

estimator_type: str¶

The name of the estimator, which is used in the summary.

Methods

summary()

Summary of the model, containing estimated parameters and std.

Properties

bandwidth	The bandwidth used in the parameter covariance estimation.
cov	The estimated parameter covariance of the cointegrating vector.
kernel	The kernel used to estimate the covariance.
long_run_variance	Long-run variance estimate used in the parameter covariance estimator.
params	The estimated parameters of the cointegrating vector.
pvalues	P-values of the parameters in the cointegrating vector.
resid	The model residuals.
residual_variance	The variance of the regression residual.
rsquared	The model R².
rsquared_adj	The degree-of-freedom adjusted R².
std_errors	Standard errors of the parameters in the cointegrating vector.
tvalues	T-statistics of the parameters in the cointegrating vector.