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.

  • adf (ADF) – The ADF instance used to perform the test and lag selection.

  • xsection (RegressionResults) – The OLS results used in the cross-sectional regression.

Methods

plot([axes, title])

Plot the cointegration residuals.

summary()

Summary of test, containing statistic, p-value and critical values

Properties

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