class statsmodels.tsa.vector_ar.var_model.VAR(endog, exog=None, dates=None, freq=None, missing='none')
[source]
Fit VAR(p) process and do lag order selection
Parameters: |
|
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Lütkepohl (2005) New Introduction to Multiple Time Series Analysis
fit ([maxlags, method, ic, trend, verbose]) | Fit the VAR model |
from_formula (formula, data[, subset, drop_cols]) | Create a Model from a formula and dataframe. |
hessian (params) | The Hessian matrix of the model |
information (params) | Fisher information matrix of model |
initialize () | Initialize (possibly re-initialize) a Model instance. |
loglike (params) | Log-likelihood of model. |
predict (params[, start, end, lags, trend]) | Returns in-sample predictions or forecasts |
score (params) | Score vector of model. |
select_order ([maxlags, trend]) | Compute lag order selections based on each of the available information criteria |
endog_names | Names of endogenous variables |
exog_names |
© 2009–2012 Statsmodels Developers
© 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.html