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statsmodels.tsa.vector_ar.var_model.VAR.select_order

VAR.select_order(maxlags=None, trend='c') [source]

Compute lag order selections based on each of the available information criteria

Parameters:
  • maxlags (int) – if None, defaults to 12 * (nobs/100.)**(1./4)
  • trend (str {"nc", "c", "ct", "ctt"}) –
    • “nc” - no deterministic terms
    • ”c” - constant term
    • ”ct” - constant and linear term
    • ”ctt” - constant, linear, and quadratic term
Returns:

selections

Return type:

LagOrderResults

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© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.vector_ar.var_model.VAR.select_order.html