CointegrationTrend

cultivars.typing.CointegrationTrend = CointegrationTrend

Alias of Literal['none', 'restricted_constant', 'constant', 'restricted_trend', 'trend'].

Where a deterministic term sits relative to the cointegrating space.

Johansen’s five cases. A constant or trend can enter inside the cointegrating relations, outside them in the short-run equation, or not at all, and the three say different things about the long run: a constant restricted to the cointegrating space allows the relations a non-zero equilibrium level without giving the levels a drift, while an unrestricted one does both. The asymptotic distribution of the rank statistics depends on which of the five holds, so this is not a display option.