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]¶

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-value 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