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.