statsmodels.tsa.vector_ar.dynamic.DynamicVAR

class statsmodels.tsa.vector_ar.dynamic.DynamicVAR(data, lag_order=1, window=None, window_type='expanding', trend='c', min_periods=None) [source]

Estimates time-varying vector autoregression (VAR(p)) using equation-by-equation least squares

Parameters:
  • data (pandas.DataFrame) –
  • lag_order (int, default 1) –
  • window (int) –
  • window_type ({'expanding', 'rolling'}) –
  • min_periods (int or None) – Minimum number of observations to require in window, defaults to window size if None specified
  • trend ({'c', 'nc', 'ct', 'ctt'}) – TODO
Returns:
  • **Attributes**
  • coefs (Panel) – items : coefficient names major_axis : dates minor_axis : VAR equation names

Methods

T() Number of time periods in results
coefs() Return dynamic regression coefficients as Panel
equations()
forecast([steps]) Produce dynamic forecast
plot_forecast([steps, figsize]) Plot h-step ahead forecasts against actual realizations of time series.
r2() Returns the r-squared values.
resid()

Attributes

nobs
result_index

© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.vector_ar.dynamic.DynamicVAR.html