VARX.fit

VARX.fit()

Estimate the system and return the fitted result.

Return type:

VARXResult

Returns:

A VARXResult.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> y, x = rng.standard_normal((120, 2)), rng.standard_normal((120, 2))
>>> res = VARX(y, x, order=2, exog_order=1).fit()
>>> res.coefficients.shape, res.exog_coefficients.shape, res.nobs
((2, 2, 2), (2, 2, 2), 118)