VECMResult._lag_labels#

VECMResult._lag_labels()[source]#

Lagged-difference column names.

Return type:

tuple[str, ...]

Returns:

"D.<name>.L<lag>" for each of the order - 1 lags, lag-major then variable-minor, matching the design columns.

Example

>>> import numpy as np
>>> y = np.cumsum(np.random.default_rng(0).standard_normal((200, 2)), axis=0)
>>> VECM(y, order=2, rank=1).fit()._lag_labels()
('D.y1.L1', 'D.y2.L1')
>>> VECM(y, order=1, rank=1).fit()._lag_labels()
()