statsmodels.tsa.vector_ar.vecm.VECM.fit¶

VECM.fit(method='ml')[source]¶

Estimates the parameters of a VECM.

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

Parameters:¶

methodstr {“ml”}, default: “ml”

Estimation method to use. “ml” stands for Maximum Likelihood.

Returns:¶

estVECMResults

References

[1]

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