statsmodels.tsa.vector_ar.vecm.VECM.fit¶
-
VECM.
fit
(method='ml')[source]¶ Estimates the parameters of a VECM.
The estimation procedure is described on pp. 269-304 in [1].
- Parameters
- method
str
{“ml”}, default: “ml” Estimation method to use. “ml” stands for Maximum Likelihood.
- method
- Returns
- est
VECMResults
- est
References
- 1
Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.