MIDASVARResult.k_exog

property MIDASVARResult.k_exog: int

Number of high-frequency series.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> x = rng.standard_normal((240, 2))
>>> y = np.column_stack([x[2::3, 0] + 0.1 * rng.standard_normal(80), x[1::3, 1]])
>>> MIDASVAR(y, x, order=1, period=3).fit().k_exog
2