VECMXResult._lag_labels#

VECMXResult._lag_labels()[source]#

Lagged-difference column names over the joint vector.

Return type:

tuple[str, ...]

Returns:

"D.<name>.L<lag>" over the modelled then the exogenous labels, lag-major, matching the (k_y, k_y + k_x) layout of each Gamma.

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=2, rank=1).fit()
>>> res._lag_labels()
('D.y1.L1', 'D.x1.L1')