statsmodels.tsa.vector_ar.var_model.VAR.select_order

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

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

Parameters:

• maxlags (int) – if None, defaults to 12 * (nobs/100.)**(1./4)
• trend (str {"nc", "c", "ct", "ctt"}) –
  • “nc” - no deterministic terms
  • ”c” - constant term
  • ”ct” - constant and linear term
  • ”ctt” - constant, linear, and quadratic term

Returns:

selections

Return type:

LagOrderResults