arch.unitroot.cointegration.EngleGrangerTestResults

class arch.unitroot.cointegration.EngleGrangerTestResults(stat: float, pvalue: float, crit_vals: Series, null: str = 'No Cointegration', alternative: str = 'Cointegration', trend: str = 'c', order: int = 2, adf: ADF | None = None, xsection: RegressionResults | None = 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 = 'No Cointegration'

The null hypothesis.

alternative: str = 'Cointegration'

The alternative hypothesis.

trend: str = 'c'

The model’s trend description.

order: int = 2

The number of stochastic trends in the null distribution.

adf: ADF | None = None

The ADF instance used to perform the test and lag selection.

xsection: RegressionResults | None = None

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