statsmodels.tsa.vector_ar.vecm.select_order

statsmodels.tsa.vector_ar.vecm.select_order(data, maxlags, deterministic='nc', 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.

deterministicstr {"nc", "co", "ci", "lo", "li"}

  • "nc" - 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, default: 0

Number of periods in a seasonal cycle.

exogndarray (nobs_tot x neqs) or None, default: None

Deterministic terms outside the cointegration relation.

exog_cointndarray (nobs_tot x neqs) or None, default: None

Deterministic terms inside the cointegration relation.

Returns
selected_ordersstatsmodels.tsa.vector_ar.var_model.LagOrderResults