VECM.fit

VECM.fit()

Estimate the system at the specified rank and return the result.

Return type:

VECMResult

Returns:

A VECMResult.

Example

>>> import numpy as np
>>> y = np.cumsum(np.random.default_rng(0).standard_normal((200, 2)), axis=0)
>>> res = VECM(y, order=2, rank=1, cointegration_trend="restricted_constant").fit()
>>> res.rank, res.trend, res.short_run_deterministic.shape, res.deterministic.shape
(1, 'c', (0, 2), (1, 2))