arch.unitroot.cointegration.CointegrationAnalysisResults

class arch.unitroot.cointegration.CointegrationAnalysisResults(params, cov, resid, omega_112, kernel_est, num_x, trend, df_adjust, rsquared, rsquared_adj, estimator_type)[source]
Attributes
bandwidth

The bandwidth used in the parameter covariance estimation

cov

The estimated parameter covariance of the cointegrating vector

kernel

The kernel used to estimate the covariance

long_run_variance

Long-run variance estimate used in the parameter covariance estimator

params

The estimated parameters of the cointegrating vector

pvalues

P-value of the parameters in the cointegrating vector

resid

The model residuals

residual_variance

The variance of the regression residual.

rsquared

The model R²

rsquared_adj

The degree-of-freedom adjusted R²

std_errors

Standard errors of the parameters in the cointegrating vector

tvalues

T-statistics of the parameters in the cointegrating vector

Methods

summary()

Summary of the model, containing estimated parameters and std.

Methods

summary()

Summary of the model, containing estimated parameters and std.

Properties

bandwidth

The bandwidth used in the parameter covariance estimation

cov

The estimated parameter covariance of the cointegrating vector

kernel

The kernel used to estimate the covariance

long_run_variance

Long-run variance estimate used in the parameter covariance estimator

params

The estimated parameters of the cointegrating vector

pvalues

P-value of the parameters in the cointegrating vector

resid

The model residuals

residual_variance

The variance of the regression residual.

rsquared

The model R²

rsquared_adj

The degree-of-freedom adjusted R²

std_errors

Standard errors of the parameters in the cointegrating vector

tvalues

T-statistics of the parameters in the cointegrating vector