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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

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