statsmodels.tsa.vector_ar.var_model.VAR.select_order

VAR.select_order(maxlags=None, trend='c')[source]

Compute lag order selections based on each of the available information criteria

Parameters
maxlagsint

if None, defaults to 12 * (nobs/100.)**(1./4)

trendstr {“nc”, “c”, “ct”, “ctt”}

  • “nc” - no deterministic terms

  • “c” - constant term

  • “ct” - constant and linear term

  • “ctt” - constant, linear, and quadratic term

Returns
selectionsLagOrderResults