Johansen cointegration test on python

Question

I cannot find any reference to the functionality for performing Johansen's cointegration test in any Python module dealing with statistics and time series analysis (pandas and statsmodel). Can anybpdy find out if there is any code that can perform such a cointegration test among time series? Thank you for your help.

Maruizio

Answer 1

statsmodels does not have a Johansen cointegration test. And I have never seen it in any other python package.

statsmodels has a VAR and a structural VAR, but so far there is no VECM (vector error correction model).

update:

As Wes mentioned, there is now a tensile request for the Johansen cointegration test for stat models. I translated the version of Matlab into the LeSage spatial econometrics toolbar and wrote a suite of tests to verify that we were getting the same results. It should be available in the next release of statsmodels.

Answer 2

See http://github.com/statsmodels/statsmodels/pull/453