statsmodels.tsa.vector_ar.var_model.VAR¶
-
class
statsmodels.tsa.vector_ar.var_model.
VAR
(endog, dates=None, freq=None, missing='none')[source]¶ Fit VAR(p) process and do lag order selection
Parameters: endog : array-like
2-d endogenous response variable. The independent variable.
dates : array-like
must match number of rows of endog
References
Lutkepohl (2005) New Introduction to Multiple Time Series Analysis
Methods
fit
([maxlags, method, ic, trend, verbose])Fit the VAR model predict
(params[, start, end, lags, trend])Returns in-sample predictions or forecasts select_order
([maxlags, verbose])Compute lag order selections based on each of the available information Attributes
endog_names
exog_names