statsmodels.tsa.vector_ar.var_model.VAR

class statsmodels.tsa.vector_ar.var_model.VAR(endog, exog=None, dates=None, freq=None, missing='none')

Fit VAR(p) process and do lag order selection

\[y_t = A_1 y_{t-1} + \ldots + A_p y_{t-p} + u_t\]

Parameters:

endogarray_like

2-d endogenous response variable. The independent variable.

exogarray_like

2-d exogenous variable.

datesarray_like

must match number of rows of endog

freqstr, optional

See statsmodels.tsa.base.tsa_model.TimeSeriesModel for more information.

missingstr, optional

See statsmodels.base.model.Model for more information.

Attributes:

endog_names

Names of endogenous variables

exog_names

The names of the exogenous variables.

Methods

fit([maxlags, method, ic, trend, verbose])	Fit the VAR model
from_formula(formula, data[, subset, drop_cols])	Not implemented.
hessian(params)	The Hessian matrix of the model
information(params)	Fisher information matrix of model
initialize()	Initialize (possibly re-initialize) a Model instance
loglike(params)	Log-likelihood of model
predict(params[, start, end, lags, trend])	Returns in-sample predictions or forecasts
score(params)	Score vector of model
select_order([maxlags, trend])	Compute lag order selections based on each of the available information criteria

References

Lütkepohl (2005) New Introduction to Multiple Time Series Analysis

Methods

fit([maxlags, method, ic, trend, verbose])	Fit the VAR model
from_formula(formula, data[, subset, drop_cols])	Not implemented.
hessian(params)	The Hessian matrix of the model
information(params)	Fisher information matrix of model
initialize()	Initialize (possibly re-initialize) a Model instance
loglike(params)	Log-likelihood of model
predict(params[, start, end, lags, trend])	Returns in-sample predictions or forecasts
score(params)	Score vector of model
select_order([maxlags, trend])	Compute lag order selections based on each of the available information criteria

Properties

endog_names	Names of endogenous variables
exog_names	The names of the exogenous variables.