environmentaltools.temporal.varfit_OLS

environmentaltools.temporal.varfit_OLS(y, z)

Estimates the parameters of VAR using the RMSE described in Lutkepohl (ecs. 3.2.1 and 3.2.10)

Parameters:

• y (*) – X Matrix in Lutkepohl

• z (*) – Z Matrix in Lutkepohl

Returns:

matrices B, Q, y U * bic (float): Bayesian Information Criteria * R2adj (float): correlation factor

Return type:

• df (dict)