VECMResult.cointegrating_matrix

property VECMResult.cointegrating_matrix: NDArray[float64]

The long-run impact matrix \(\Pi = \alpha \beta'\), over the variables only.

Any restricted deterministic row of beta is left out, so the result is (k, k) of rank rank.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> common = np.cumsum(rng.standard_normal(300))
>>> y = np.column_stack([common, 2 * common + rng.standard_normal(300)])
>>> res = VECM(y, order=2, rank=1).fit()
>>> res.cointegrating_matrix.shape, int(np.linalg.matrix_rank(res.cointegrating_matrix))
((2, 2), 1)