arch.unitroot.cointegration.DynamicOLSResults.long_run_variance¶

property DynamicOLSResults.long_run_variance : float¶

The long-run variance of the regression residual.

Returns:¶

The estimated long-run variance of the residual.

Return type:¶

float

Notes

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.