statsmodels.tsa.vector_ar.svar_model.SVAR¶
-
class
statsmodels.tsa.vector_ar.svar_model.
SVAR
(endog, svar_type, dates=None, freq=None, A=None, B=None, missing='none')[source]¶ Fit VAR and then estimate structural components of A and B, defined:
\[Ay_t = A_1 y_{t-1} + \ldots + A_p y_{t-p} + B\var(\epsilon_t)\]- Parameters
- endogarray_like
1-d endogenous response variable. The independent variable.
- datesarray_like
must match number of rows of endog
- svar_type
str
“A” - estimate structural parameters of A matrix, B assumed = I “B” - estimate structural parameters of B matrix, A assumed = I “AB” - estimate structural parameters indicated in both A and B matrix
- Aarray_like
neqs x neqs with unknown parameters marked with ‘E’ for estimate
- Barray_like
neqs x neqs with unknown parameters marked with ‘E’ for estimate
References
Hamilton (1994) Time Series Analysis
Methods
check_order
(J)check_rank
(J)fit
([A_guess, B_guess, maxlags, method, ic, …])Fit the SVAR model and solve for structural parameters
from_formula
(formula, data[, subset, drop_cols])Create a Model from a formula and dataframe.
hessian
(AB_mask)Returns numerical hessian.
information
(params)Fisher information matrix of model.
Initialize (possibly re-initialize) a Model instance.
loglike
(params)Loglikelihood for SVAR model
predict
(params[, exog])After a model has been fit predict returns the fitted values.
score
(AB_mask)Return the gradient of the loglike at AB_mask.
Properties
Names of endogenous variables.
The names of the exogenous variables.