statsmodels.tsa.vector_ar.vecm.select_order#

statsmodels.tsa.vector_ar.vecm.select_order(data, maxlags, deterministic='n', seasons=0, exog=None, exog_coint=None)[source]#

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

Parameters:
dataarray_like (nobs_tot x neqs)

The observed data.

maxlagsint

All orders until maxlag will be compared according to the information criteria listed in the Results-section of this docstring.

deterministic{“n”, “co”, “ci”, “lo”, “li”}, optional

  • "n" - no deterministic terms

  • "co" - constant outside the cointegration relation

  • "ci" - constant within the cointegration relation

  • "lo" - linear trend outside the cointegration relation

  • "li" - linear trend within the cointegration relation

Combinations of these are possible (e.g., "cili" or "colo" for linear trend with intercept). See the docstring of the VECM-class for more information.

seasonsint, optional

Number of periods in a seasonal cycle. 0 means no seasons.

exogndarray (nobs_tot x #det_terms), optional

Deterministic terms outside the cointegration relation.

exog_cointndarray (nobs_tot x #det_terms_coint), optional

Deterministic terms inside the cointegration relation.

Returns:
selected_ordersstatsmodels.tsa.vector_ar.var_model.LagOrderResults