arch.unitroot.cointegration.DynamicOLSResults.long_run_variance¶
- property DynamicOLSResults.long_run_variance : float¶
The long-run variance of the regression residual.
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.