statsmodels.tsa.vector_ar.var_model.VARResults.plot_acorr

VARResults.plot_acorr(nlags=10, resid=True, linewidth=8)[source]

Plot autocorrelation of sample (endog) or residuals

Sample (Y) or Residual autocorrelations are plotted together with the standard \(2 / \sqrt{T}\) bounds.

Parameters:
  • nlags (int) – number of lags to display (excluding 0)
  • resid (boolean) – If True, then the autocorrelation of the residuals is plotted If False, then the autocorrelation of endog is plotted.
  • linewidth (int) – width of vertical bars
Returns:

fig
Return type:

matplotlib figure instance