Cointegration Tests

engle_granger(y, x[, trend, lags, max_lags, …])

Test for cointegration within a set of time series.

phillips_ouliaris(y, x[, trend, test_type, …])

Test for cointegration within a set of time series.

Cointegrating Vector Estimation

DynamicOLS(y, x[, trend, lags, leads, …])

Dynamic OLS (DOLS) cointegrating vector estimation

FullyModifiedOLS(y, x[, trend, x_trend])

Fully Modified OLS cointegrating vector estimation.

CanonicalCointegratingReg(y, x[, trend, x_trend])

Canonical Cointegrating Regression cointegrating vector estimation.

Results Classes

CointegrationAnalysisResults(params, cov, …)

DynamicOLSResults(params, cov, resid, lags, …)

Estimation results for Dynamic OLS models

EngleGrangerTestResults(stat, pvalue, crit_vals)

Results class for Engle-Granger cointegration tests.

PhillipsOuliarisTestResults(stat, pvalue, …)