statsmodels.tsa.vector_ar.svar_model.SVARProcess.acorr

SVARProcess.acorr(nlags=None)

Autocorrelation function

Parameters

nlagsint or None

The number of lags to include in the autocovariance function. The default is the number of lags included in the model.

Returns

acorrndarray

Autocorrelation and cross correlations (nlags, neqs, neqs)