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I can't find any reference on funcionality to perform Johansen cointegration test in any Python module dealing with statistics and time series analysis (pandas and statsmodel). Does anybody know if there's some code around that can perform such a test for cointegration among time series?

cottontail
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mspadaccino
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4 Answers4

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This is now implemented in Python's statsmodels:

from statsmodels.tsa.vector_ar.vecm import coint_johansen
x = getx() # dataframe of n series for cointegration analysis
jres = coint_johansen(x, det_order=0, k_ar_diff=1)

For a full description of inputs/results, see the documentation.

Cody Gray - on strike
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rbonallo
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statsmodels doesn't have a Johansen cointegration test. And, I have never seen it in any other python package either.

statsmodels has VAR and structural VAR, but no VECM (vector error correction models) yet.

update:

As Wes mentioned, there is now a pull request for Johansen's cointegration test for statsmodels. I have translated the matlab version in LeSage's spatial econometrics toolbox and wrote a set of tests to verify that we get the same results. It should be available in the next release of statsmodels.

update 2:

The test for cointegration coint_johansen was included in statsmodels 0.9.0 together with the vector error correction models VECM. (see also 3rd answer)

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

Wes McKinney
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Check this: https://searchcode.com/codesearch/view/88477497/

It provides a library where you can find the Johansen cointegration test.

Yahia Dekhili
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    While this link may answer the question, it is better to include the essential parts of the answer here and provide the link for reference. Link-only answers can become invalid if the linked page changes. – Skully Sep 03 '21 at 00:50