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scikits.statsmodels.tsa.vector_ar.var_model.VAR

class scikits.statsmodels.tsa.vector_ar.var_model.VAR(endog, names=None, dates=None)[source]

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 : np.ndarray (structured or homogeneous) or DataFrame

names : array-like

must match number of columns of endog

dates : array-like

must match number of rows of endog

Returns :

.fit() method returns VARResults object :

Notes

References Lutkepohl (2005) New Introduction to Multiple Time Series Analysis

Methods

fit([maxlags, method, ic, trend, verbose]) Fit the VAR model
select_order([maxlags, verbose]) Compute lag order selections based on each of the available information

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