statsmodels.tsa.vector_ar.var_model.VAR.fit
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VAR.fit(maxlags=None, method='ols', ic=None, trend='c', verbose=False)
[source]
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Fit the VAR model
Parameters: |
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maxlags (int) – Maximum number of lags to check for order selection, defaults to 12 * (nobs/100.)**(1./4), see select_order function
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method ({'ols'}) – Estimation method to use
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ic ({'aic', 'fpe', 'hqic', 'bic', None}) – Information criterion to use for VAR order selection. aic : Akaike fpe : Final prediction error hqic : Hannan-Quinn bic : Bayesian a.k.a. Schwarz
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verbose (bool, default False) – Print order selection output to the screen
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trend (str {"c", "ct", "ctt", "nc"}) – “c” - add constant “ct” - constant and trend “ctt” - constant, linear and quadratic trend “nc” - co constant, no trend Note that these are prepended to the columns of the dataset.
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Notes
Lütkepohl pp. 146-153
Returns: |
est |
Return type: |
VARResultsWrapper |