statsmodels.tsa.vector_ar.var_model.VARResults.plot_acorr

VARResults.plot_acorr(nlags=10, resid=True, linewidth=8)

Plot autocorrelation of sample (endog) or residuals

Sample (Y) or Residual autocorrelations are plotted together with the standard \(2 / \sqrt{T}\) bounds.

Parameters

nlagsint

number of lags to display (excluding 0)

resid: bool

If True, then the autocorrelation of the residuals is plotted If False, then the autocorrelation of endog is plotted.

linewidthint

width of vertical bars

Returns

Figure

Figure instance containing the plot.