statsmodels.tsa.vector_ar.var_model.VARResults.acorr

VARResults.acorr(nlags=None)

Autocorrelation function

Parameters:
nlagsint or None

The number of lags to include in the autocovariance function. The default is the number of lags included in the model.

Returns:
acorrndarray

Autocorrelation and cross correlations (nlags, neqs, neqs)


Last update: Feb 28, 2024