, method='ols', ic=None, trend='c', verbose=False)[source]

Fit the VAR model

  • 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.


Lütkepohl pp. 146-153

Return type:VARResultsWrapper