statsmodels.tsa.vector_ar.var_model.VAR.fit#
- VAR.fit(maxlags=None, method='ols', ic=None, trend='c', verbose=False)[source]#
Fit the VAR model
- Parameters:
- maxlags
int,optional Maximum number of lags to check for order selection, defaults to 12 * (nobs/100.)**(1./4), see select_order function
- method{‘ols’},
optional Estimation method to use
- ic{‘aic’, ‘fpe’, ‘hqic’, ‘bic’,
None},optional Information criterion to use for VAR order selection. aic : Akaike fpe : Final prediction error hqic : Hannan-Quinn bic : Bayesian a.k.a. Schwarz
- trend{“c”, “ct”, “ctt”, “n”},
optional “c” - add constant “ct” - constant and trend “ctt” - constant, linear and quadratic trend “n” - no constant, no trend Note that these are prepended to the columns of the dataset.
- verbosebool,
optional Print order selection output to the screen. The default is False.
- maxlags
- Returns:
VARResultsEstimation results
Notes
See Lütkepohl pp. 146-153 for implementation details.