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:

  • data (array_like (nobs_tot x neqs)) – The observed data.

  • maxlags (int) – All orders until maxlag will be compared according to the information criteria listed in the Results-section of this docstring.

  • deterministic (str {"n", "co", "ci", "lo", "li"}) –

    • "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.

  • seasons (int, default: 0) – Number of periods in a seasonal cycle.

  • exog (ndarray (nobs_tot x neqs) or None, default: None) – Deterministic terms outside the cointegration relation.

  • exog_coint (ndarray (nobs_tot x neqs) or None, default: None) – Deterministic terms inside the cointegration relation.

Returns:

selected_orders

Return type:

statsmodels.tsa.vector_ar.var_model.LagOrderResults