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, None}, default None¶

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", "n"}¶

“c” - add constant “ct” - constant and trend “ctt” - constant, linear and quadratic trend “n” - co constant, no trend Note that these are prepended to the columns of the dataset.

Returns:¶

Estimation results

Return type:¶

VARResults

Notes

See Lütkepohl pp. 146-153 for implementation details.