arch.unitroot.cointegration.DynamicOLSResults.residual_variance

property DynamicOLSResults.residual_variance

The variance of the regression residual.

Returns
float

The estimated residual variance.

Notes

The residual variance only accounts for the short-run variance of the residual and does not account for any autocorrelation. It is defined as

\[\hat{\sigma}^2 = T^{-1} \sum _{t=p}^{T-q} \hat{\epsilon}_t^2\]

If df_adjust is True, then the estimator is rescaled by T/(T-m) where m is the number of regressors in the model.

Return type

float