MIDASVAR._max_supported_lags#

MIDASVAR._max_supported_lags()[source]#

Largest endogenous order the sample can identify.

Return type:

int

Returns:

The order at which the design would still have more rows than columns, after the deterministic terms and the compressed block are counted.

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> x = rng.standard_normal((120, 1))
>>> MIDASVAR(rng.standard_normal((40, 2)), x, order=1, period=3)._max_supported_lags()
12