VAR.fit()

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 Maximum number of lags to check for order selection, defaults to 12 * (nobs/100.)**(1./4), see select_order function method : {?ols?} Estimation method to use ic : {?aic?, ?fpe?, ?hqic?, ?bic?, None} Information criterion to use for VAR order selection. aic : Akaike fpe : Final prediction error hqic : Hannan-Quinn bic : Bayesian a.k.a. Schwarz verbose : bool, default False Print order selection output to the screen trend, str {?c?, ?ct?, ?ctt?, ?nc?} : ?c? - add constant ?ct? - constant and trend ?ctt? - constant, linear and quadratic trend ?nc? - co constant, no trend Note that these are prepended to the columns of the dataset.

Returns:

est : VARResults

Notes

Lutkepohl pp. 146-153