statsmodels.tsa.vector_ar.var_model.LagOrderResults¶
-
class statsmodels.tsa.vector_ar.var_model.LagOrderResults(ics, selected_orders, vecm=
False
)[source]¶ Results class for choosing a model’s lag order.
- Parameters:¶
- ics
dict
The keys are the strings
"aic"
,"bic"
,"hqic"
, and"fpe"
. A corresponding value is a list of information criteria for various numbers of lags.- selected_orders
dict
The keys are the strings
"aic"
,"bic"
,"hqic"
, and"fpe"
. The corresponding value is an integer specifying the number of lags chosen according to a given criterion (key).- vecmbool, default: False
True indicates that the model is a VECM. In case of a VAR model this argument must be False.
- ics
Notes
In case of a VECM the shown lags are lagged differences.
Methods
summary
()
Last update:
Oct 29, 2024