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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?

Shashank
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1 Answers1

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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

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Odysseus
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