4.8.1.2.6. statsmodels.tsa.api.SVAR¶

class statsmodels.tsa.api.SVAR(endog, svar_type, dates=None, freq=None, A=None, B=None, missing='none')[source]¶

Fit VAR and then estimate structural components of A and B, defined:

\[Ay_t = A_1 y_{t-1} + \ldots + A_p y_{t-p} + B\]

ar(epsilon_t)

Parameters:

endog : array-like 1-d endogenous response variable. The independent variable. dates : array-like must match number of rows of endog svar_type : str “A” - estimate structural parameters of A matrix, B assumed = I “B” - estimate structural parameters of B matrix, A assumed = I “AB” - estimate structural parameters indicated in both A and B matrix A : array-like neqs x neqs with unknown parameters marked with ‘E’ for estimate B : array-like neqs x neqs with unknown parameters marked with ‘E’ for estimate

__init__(endog, svar_type, dates=None, freq=None, A=None, B=None, missing='none')[source]¶