statsmodels.tsa.vector_ar.var_model.LagOrderResults

class statsmodels.tsa.vector_ar.var_model.LagOrderResults(ics, selected_orders, vecm=False)

Results class for choosing a model’s lag order.

Parameters

icsdict

The keys are the strings "aic", "bic", "hqic", and "fpe". A corresponding value is a list of information criteria for various numbers of lags.

selected_orders: dict

The keys are the strings "aic", "bic", "hqic", and "fpe". The corresponding value is an integer specifying the number of lags chosen according to a given criterion (key).

vecmbool, default: False

True indicates that the model is a VECM. In case of a VAR model this argument must be False.

Notes

In case of a VECM the shown lags are lagged differences.

Methods

summary