statsmodels/statsmodels — pull request #453 by josef-pkt (2012-09-06 15:43:37+00:00)
Title: WIP: ENH: Johansen's Cointegration test and VECM

see issue: #448

currently mainly translation of LeSage's spatial econometrics toolbox function, the cointegration test only

the intermediate results used in this can be extended to get a VECM representation for VAR's, and to get the estimator for it.

Not yet done or tried:
residual from cointegrating vectors should be stationary, try unitroot test in example
what are we doing with VECM if there are some variables in the VAR that are I(0) and not I(1)?