# arch.unitroot.cointegration.DynamicOLSResults.long_run_variance¶

property DynamicOLSResults.long_run_variance

The long-run variance of the regression residual.

Return type

float

Returns

• float – The estimated long-run variance of the residual.

• The long-run variance is estimated from the model residuals

• using the same kernel used to estimate the parameter

• covariance.

• If df_adjust is True, then the estimator is rescaled by T/(T-m) where

• m is the number of regressors in the model.