arch.unitroot.cointegration.CanonicalCointegratingReg.fit¶
-
CanonicalCointegratingReg.
fit
(kernel='bartlett', bandwidth=None, force_int=True, diff=False, df_adjust=False)[source]¶ Estimate the cointegrating vector.
- Parameters
diff (bool, default False) -- Use differenced data to estimate the residuals.
kernel (str, default "bartlett") -- The string name of any of any known kernel-based long-run covariance estimators. Common choices are "bartlett" for the Bartlett kernel (Newey-West), "parzen" for the Parzen kernel and "quadratic-spectral" for the Quadratic Spectral kernel.
bandwidth (int, default None) -- The bandwidth to use. If not provided, the optimal bandwidth is estimated from the data. Setting the bandwidth to 0 and using "unadjusted" produces the classic OLS covariance estimator. Setting the bandwidth to 0 and using "robust" produces White's covariance estimator.
force_int (bool, default False) -- Whether the force the estimated optimal bandwidth to be an integer.
df_adjust (bool, default False) -- Whether the adjust the parameter covariance to account for the number of parameters estimated in the regression. If true, the parameter covariance estimator is multiplied by T/(T-k) where k is the number of regressors in the model.
- Returns
The estimation results instance.
- Return type