statsmodels.tsa.vector_ar.vecm.VECM.fit¶

VECM.fit(method='ml')[source]¶

Estimates the parameters of a VECM.

The estimation procedure is described on pp. 269-304 in [1].

Parameters:¶

method : str {"ml"}, default: "ml"¶

Estimation method to use. “ml” stands for Maximum Likelihood.

Returns:¶

est

Return type:¶

VECMResults

References