statsmodels.tsa.vector_ar.vecm.VECM.fit¶
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VECM.
fit
(method='ml')[source]¶ Estimates the parameters of a VECM.
The estimation procedure is described on pp. 269-304 in [R215].
Parameters: method : str {“ml”}, default: “ml”
Estimation method to use. “ml” stands for Maximum Likelihood.
Returns: est :
VECMResults
References
[R215] (1, 2) Lütkepohl, H. 2005. New Introduction to Multiple Time Series Analysis. Springer.