statsmodels.tsa.vector_ar.svar_model.SVARResults.acorr

SVARResults.acorr(nlags=None)

Autocorrelation function

Parameters:

nlags : int or None

The number of lags to include in the autocovariance function. The default is the number of lags included in the model.

Returns:

acorr : ndarray

Autocorrelation and cross correlations (nlags, neqs, neqs)