VarOls

model.VarOls(data, lag=1, fit_intercept=True, method='nor')

OLS for Vector autoregressive model

Fits VAR model using OLS.

Parameters

Name	Type	Description	Default
data	array - like	Time series data of which columns indicate the variables	required
lag	int	VAR lag, by default 1	1
fit_intercept	bool	Include constant term in the model, by default True	True
method	str	Normal equation solving method - “nor”: projection matrix (default) - “chol”: LU decomposition - “qr”: QR decomposition)	'nor'

Attributes

Name	Type	Description
coef_	ndarray	VAR coefficient matrix.
intercept_	ndarray	VAR model constant vector.
cov_	ndarray	VAR covariance matrix.
n_features_in_	int	Number of variables.