statsmodels.tsa.vector_ar.var_model.VAR.fit¶
method
-
VAR.fit(maxlags=None, method='ols', ic=None, trend='c', verbose=False)[source]¶ Fit the VAR model
- Parameters
- maxlagsint
Maximum number of lags to check for order selection, defaults to 12 * (nobs/100.)**(1./4), see select_order function
- method{‘ols’}
Estimation method to use
- ic{‘aic’, ‘fpe’, ‘hqic’, ‘bic’, None}
Information criterion to use for VAR order selection. aic : Akaike fpe : Final prediction error hqic : Hannan-Quinn bic : Bayesian a.k.a. Schwarz
- verbosebool, default False
Print order selection output to the screen
- trendstr {“c”, “ct”, “ctt”, “nc”}
“c” - add constant “ct” - constant and trend “ctt” - constant, linear and quadratic trend “nc” - co constant, no trend Note that these are prepended to the columns of the dataset.
- Returns
- estVARResultsWrapper
Notes
Lütkepohl pp. 146-153