statsmodels.tsa.vector_ar.var_model.VARProcess.simulate_var¶

method

VARProcess.simulate_var(steps=None, offset=None, seed=None)[source]¶

simulate the VAR(p) process for the desired number of steps

Parameters

stepsNone or int: number of observations to simulate, this includes the initial observations to start the autoregressive process. If offset is not None, then exog of the model are used if they were provided in the model
offsetNone or ndarray (steps, neqs): If not None, then offset is added as an observation specific intercept to the autoregression. If it is None and either trend (including intercept) or exog were used in the VAR model, then the linear predictor of those components will be used as offset. This should have the same number of rows as steps, and the same number of columns as endogenous variables (neqs).
seedNone or integer: If seed is not None, then it will be used with for the random variables generated by numpy.random.

Returns