VECMX.fit

VECMX.fit()

Estimate the conditional system and return the fitted result.

Return type:

VECMXResult

Returns:

A VECMXResult.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> x = np.cumsum(rng.standard_normal((200, 1)), axis=0)
>>> res = VECMX(x + rng.standard_normal((200, 1)), x, order=1, rank=1).fit()
>>> res.k_endog, res.k_exog, res.design.shape[1]
(1, 1, 3)