Fit VAR(p) process and do lag order selection
y_t = A_1 y_{t-1} + \ldots + A_p y_{t-p} + u_t
Parameters: | endog : array-like
dates : array-like
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References
Lutkepohl (2005) New Introduction to Multiple Time Series Analysis
Methods
fit([maxlags, method, ic, trend, verbose]) | Fit the VAR model |
from_formula(formula, data[, subset]) | Create a Model from a formula and dataframe. |
hessian(params) | The Hessian matrix of the model |
information(params) | Fisher information matrix of model |
initialize() | Initialize (possibly re-initialize) a Model instance. |
loglike(params) | Log-likelihood of model. |
predict(params[, start, end, lags, trend]) | Returns in-sample predictions or forecasts |
score(params) | Score vector of model. |
select_order([maxlags, verbose]) | Compute lag order selections based on each of the available information |
Attributes
endog_names | |
exog_names |