VARXResult.compare#

VARXResult.compare(*others, criterion='aic')[source]#

Rank this result against others by an information criterion.

Parameters:

  • others (_ComparisonMixin) – Further fitted results, estimated on the same sample.

  • criterion (str) – "aic", "bic", or "hqic".

Return type:

SummaryTable

Returns:

A _SummaryTable ordered best-first, with the gap to the best model in the final column.

Raises:

  • SpecificationError – If criterion is not recognized.

  • DimensionError – If the results were not fitted to the same number of observations, which would make the criteria incomparable.

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