statsmodels.tsa.vector_ar.var_model.VARProcess

class statsmodels.tsa.vector_ar.var_model.VARProcess(coefs, coefs_exog, sigma_u, names=None, _params_info=None)[source]

Class represents a known VAR(p) process

Parameters:
  • coefs (ndarray (p x k x k)) – coefficients for lags of endog, part or params reshaped
  • coefs_exog (ndarray) – parameters for trend and user provided exog
  • sigma_u (ndarray (k x k)) – residual covariance
  • names (sequence (length k)) –
  • _params_info (dict) – internal dict to provide information about the composition of params, specifically k_trend (trend order) and k_exog_user (the number of exog variables provided by the user). If it is None, then coefs_exog are assumed to be for the intercept and trend.
Returns:

Return type:

**Attributes**

Methods

acf([nlags]) Compute theoretical autocovariance function
acorr([nlags]) Compute theoretical autocorrelation function
forecast(y, steps[, exog_future]) Produce linear minimum MSE forecasts for desired number of steps ahead, using prior values y
forecast_cov(steps) Compute theoretical forecast error variance matrices
forecast_interval(y, steps[, alpha, exog_future]) Construct forecast interval estimates assuming the y are Gaussian
get_eq_index(name) Return integer position of requested equation name
intercept_longrun() Long run intercept of stable VAR process
is_stable([verbose]) Determine stability based on model coefficients
long_run_effects() Compute long-run effect of unit impulse
ma_rep([maxn]) Compute MA(\(\infty\)) coefficient matrices
mean() Long run intercept of stable VAR process
mse(steps) Compute theoretical forecast error variance matrices
orth_ma_rep([maxn, P]) Compute orthogonalized MA coefficient matrices using P matrix such that \(\Sigma_u = PP^\prime\).
plot_acorr([nlags, linewidth]) Plot theoretical autocorrelation function
plotsim([steps, offset, seed]) Plot a simulation from the VAR(p) process for the desired number of steps
simulate_var([steps, offset, seed]) simulate the VAR(p) process for the desired number of steps
to_vecm()