iisayoo / johansen Goto Github PK

When first importing johansen (in python3), it gives me a "module not found error".
Prior, it also gave me errors relating to python 2 vs 3 in the johansen.py file, but I edited those to conform to python 3.

---------------------------------------------------------------------------
ModuleNotFoundError                       Traceback (most recent call last)
<ipython-input-1-a1c691410a6a> in <module>()
----> 1 import johansen

~/.local/lib/python3.6/site-packages/johansen/__init__.py in <module>()
----> 1 from .johansen import Johansen

~/.local/lib/python3.6/site-packages/johansen/johansen.py in <module>()
      2 from statsmodels.tsa.tsatools import lagmat
      3 
----> 4 import critical_values
      5 
      6 

ModuleNotFoundError: No module named 'critical_values'

However, in ~/.local/lib/python3.6/site-packages/johansen, the critical_values.py file is there!
This question / problem may be better suited for StackOverflow--however I thought I would try here.

Any insight is appreciated.
Edit: added sys.path.append('/home/theo/.local/lib/python3.6/site-packages/johansen') andimport johansen worked properly, however from johansen import coint_johansen did not work properly.

Hi dear,

Thanks for these awesome scripts. One question I have is that when johansen() returns eigenvectors and rejected_r_values, if r=x null hypothesis got rejected, should we append x+1 into the rejected_r_values list?
My idea is that if we rejected the null hypothesis r=0 , we should have 1 (using maxeigen) or 3(using trace) cointegrating vectors, therefore we should append r=1 into the rejected_r_values list.
For example,
rejected_r_values = []
for r in range(m):
if self.h_test(eigenvalues, r):
rejected_r_values.append(r+1)

In your notebook example, where the johansen function returns r=[1], I don't quite understand how you get r=[1] only. Because in the johansen function, rejected_r_values should be like [0,1]. Could you elaborate more on this? Thank you so much!

Once again, thanks for the awesome work!