Johansen cointegration test in python

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)

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.

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