# arch.unitroot.cointegration.EngleGrangerTestResults¶

class arch.unitroot.cointegration.EngleGrangerTestResults(stat, pvalue, crit_vals, null='No Cointegration', alternative='Cointegration', trend='c', order=2, adf=None, xsection=None)[source]

Results class for Engle-Granger cointegration tests.

Parameters
• stat (float) – The Engle-Granger test statistic.

• pvalue (float) – The pvalue of the Engle-Granger test statistic.

• crit_vals (Series) – The critical values of the Engle-Granger specific to the sample size and model dimension.

• null (str) – The null hypothesis.

• alternative (str) – The alternative hypothesis.

• trend (str) – The model’s trend description.

• order (int) – The number of stochastic trends in the null distribution.

 plot([axes, title]) Plot the cointegration residuals. Summary of test, containing statistic, p-value and critical values
 alternative_hypothesis The alternative hypothesis cointegrating_vector The estimated cointegrating vector. critical_values Critical Values distribution_order The number of stochastic trends under the null hypothesis. lags The number of lags used in the Augmented Dickey-Fuller regression. max_lags The maximum number of lags used in the lag-length selection. name Sets or gets the name of the cointegration test null_hypothesis The null hypothesis pvalue The p-value of the test statistic. resid The residual from the cointegrating regression. rho The estimated coefficient in the Dickey-Fuller Test stat The test statistic. trend The trend used in the cointegrating regression