statsmodels.tsa.vector_ar.var_model.VAR.select_order

VAR.select_order(maxlags=None, verbose=True)

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

Parameters:

maxlags : int

if None, defaults to 12 * (nobs/100.)**(1./4)

verbose : bool, default True

If True, print table of info criteria and selected orders

Returns:

selections : dict {info_crit -> selected_order}