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.