VAR Specification

VAR model specification.

VAR

Bases: BaseModel

Immutable VAR model specification.

Attributes:

Name	Type	Description
lags	int | Literal['aic', 'bic', 'hq']	Fixed lag order (int >= 1) or selection criterion string.
max_lags	int | None	Upper bound for automatic selection. Only valid with string lags.
prior	Literal['minnesota'] | Prior	Prior shorthand string or Prior protocol instance.

resolved_prior property

Resolve string prior shorthand to a Prior instance.

fit(data, sampler=None)

Estimate the Bayesian VAR model.

Parameters:

Name	Type	Description	Default
data	VARData	VARData instance.	required
sampler	Sampler | None	Sampler protocol instance. Defaults to NUTSSampler().	None

Returns:

Type	Description
FittedVAR	FittedVAR with posterior draws.