statsmodels.tsa.vector_ar.vecm.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 cointegration rank of a VECM.
- Parameters:
endog (array_like (nobs_tot x neqs)) – The data with presample.
det_order (int) –
-1 - no deterministic terms
0 - constant term
1 - linear trend
k_ar_diff (int, nonnegative) – Number of lagged differences in the model.
method (str, {
"trace","maxeig"}, default:"trace") – If"trace", the trace test statistic is used. If"maxeig", the maximum eigenvalue test statistic is used.signif (float, {0.1, 0.05, 0.01}, default: 0.05) – The test’s significance level.
- Returns:
rank – A
CointRankResultsobject containing the cointegration rank suggested by the test and allowing a summary to be printed.- Return type:
