PanelVAR.fit

PanelVAR.fit()

Estimate the pooled system and return the fitted result.

Return type:

PanelVARResult

Returns:

A PanelVARResult.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> units = [rng.standard_normal((n, 2)) for n in (60, 45, 90)]
>>> res = PanelVAR(units, order=2, unit_names=["de", "fr", "it"]).fit()
>>> res.unit_names, res.nobs, res.deterministic.shape, res.coefficients.shape
(('de', 'fr', 'it'), 189, (3, 2), (2, 2, 2))