arch.unitroot.cointegration.EngleGrangerTestResults

class arch.unitroot.cointegration.EngleGrangerTestResults(stat, pvalue, crit_vals, null='No Cointegration', alternative='Cointegration', trend='c', order=2, adf=None, xsection=None)[source]

Results class for Engle-Granger cointegration tests.

Parameters
statfloat

The Engle-Granger test statistic.

pvaluefloat

The pvalue of the Engle-Granger test statistic.

crit_valsSeries

The critical values of the Engle-Granger specific to the sample size and model dimension.

nullstr

The null hypothesis.

alternativestr

The alternative hypothesis.

trendstr

The model’s trend description.

orderint

The number of stochastic trends in the null distribution.

adfADF

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

xsectionRegressionResults

The OLS results used in the cross-sectional regression.

Attributes
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

Methods

plot([axes, title])

Plot the cointegration residuals.

summary()

Summary of test, containing statistic, p-value and critical values

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