A CointRankResults object containing the cointegration rank suggested by the test and allowing a summary to be printed. Last ...

rank – A CointRankResults object containing the cointegration rank suggested by the test and allowing a summary to be printed. Return type ...

select_coint_rank. statsmodels.tsa.vector_ar.vecm.select_coint_rank(endog, det_order, k_ar_diff, method='trace', signif=0.05) [source]. Calculate the ...

20 мая 2021 г. · Describe the bug. When I am doing Cointegratoin for Y and X, I use Eviews 10 and select_coint_rank in statsmodels.tsa.vector_ar.vecm.

10 июн. 2024 г. · A CointRankResults object containing the cointegration rank suggested by the test and allowing a summary to be printed. Last ...

statsmodels.tsa.vector_ar.vecm.select_coint_rank ... Calculate the cointegration rank of a VECM. ... Licensed under the 3-clause BSD License. http://www ...

The function select_coint_rank helps us choosing the cointegration rank. The rank attribute of the resulting CointRankResults object gives us the desired ...

27 февр. 2023 г. · I'm running a VECM model with cointegration rank = 1 and 2 lagged differences. According to these results the alphas of the model are not significantly ...

10 июн. 2024 г. · select_coint_rank · statsmodels.tsa ... max_eig_stat and max_eig_stat_crit_vals. See also. statsmodels.tsa.vector_ar.vecm.select_coint_rank.

coint_result_maxeig = select_coint_rank(data, -1, vecm_lag.aic, method='trace') print(coint_result_maxeig.summary()) coint_result_maxeig = select_coint_rank ...