arch.unitroot.cointegration.DynamicOLSResults¶

class arch.unitroot.cointegration.DynamicOLSResults(params: Series, cov: DataFrame, resid: Series, lags: int, leads: int, cov_type: str, kernel_est: CovarianceEstimator, num_x: int, trend: 'n' | 'c' | 'ct' | 'ctt', reg_results: RegressionResults, df_adjust: bool)[source]¶

Estimation results for Dynamic OLS models.

Parameters:¶

params: Series¶

The estimated model parameters.

cov: DataFrame¶

The estimated parameter covariance.

resid: Series¶

The model residuals.

lags: int¶

The number of lags included in the model.

leads: int¶

The number of leads included in the model.

cov_type: str¶

The type of the parameter covariance estimator used.

kernel_est: CovarianceEstimator¶

The covariance estimator instance used to estimate the parameter covariance.

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.

reg_results: RegressionResults¶

Regression results from fitting statsmodels OLS.

df_adjust: bool¶

Whether to degree of freedom adjust the estimator.

Methods

summary([full])

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.
cov_type	The type of parameter covariance estimator used.
full_cov	Parameter covariance of all the model parameters, incl.
full_params	The complete set of parameters, including leads and lags.
kernel	The kernel used to estimate the covariance.
lags	The number of lags included in the model.
leads	The number of leads included in the model.
long_run_variance	The long-run variance of the regression residual.
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.