3
$\begingroup$

How to get the trace statistics from the Johansen test for cointegration in python. Also, i tried to search it myself on google, found the following website ("http://www.drtomstarke.com/index.php/johansen-test-for-cointegration"), which uses the following code "from johansen import coint_johansen".

Is there a module called johansen. If so, where can I find it?

$\endgroup$
2
$\begingroup$

Just to get question answered: module is still excluded from main branch, it is contained in branch coint @ https://github.com/josef-pkt/statsmodels.git But I haven't tested it myself yet.

See Getting cointegration vectors using Johansen method

$\endgroup$

Not the answer you're looking for? Browse other questions tagged or ask your own question.