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
dates : array-like
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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 |