statsmodels.tsa.vector_ar.vecm.VECM.fit

VECM.fit(method='ml')

Estimates the parameters of a VECM.

The estimation procedure is described on pp. 269-304 in [1].

Parameters:

method (str {"ml"}, default: "ml") – Estimation method to use. “ml” stands for Maximum Likelihood.

Returns:

est

Return type:

VECMResults

References

[1]

Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.