Data¶
VARData — validated, immutable data container for VAR models.
VARData
¶
Bases: BaseModel
Immutable, validated container for VAR estimation data.
Attributes:
| Name | Type | Description |
|---|---|---|
endog |
ndarray
|
Endogenous variable array of shape (T, n) where T >= 1 and n >= 2. |
endog_names |
list[str]
|
Names for each endogenous variable. |
exog |
ndarray | None
|
Optional exogenous variable array of shape (T, k). |
exog_names |
list[str] | None
|
Names for each exogenous variable. Required if exog is provided. |
index |
DatetimeIndex
|
DatetimeIndex of length T. |
from_df(df, endog, exog=None)
classmethod
¶
Construct VARData from a pandas DataFrame.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
df
|
DataFrame
|
DataFrame with a DatetimeIndex. |
required |
endog
|
list[str]
|
Column names for endogenous variables. |
required |
exog
|
list[str] | None
|
Column names for exogenous variables (optional). |
None
|
Returns:
| Type | Description |
|---|---|
Self
|
Validated VARData instance. |