statsmodels.tsa.vector_ar.vecm.VECM.fit

VECM.fit(method='ml') [source]

Estimates the parameters of a VECM.

The estimation procedure is described on pp. 269-304 in [1].

Parameters:	method (str {"ml"}, default: "ml") – Estimation method to use. “ml” stands for Maximum Likelihood.
Returns:	est
Return type:	VECMResults

References

[1]	Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.