statsmodels.tsa.vector_ar.var_model.VARResults.sample_acorr#

VARResults.sample_acorr(nlags=1)[source]#

Compute sample autocorrelation (including lag 0)

Parameters:

nlagsint, optional: The number of lags to include, not counting the zero lag.

Returns:

acorrndarray: Autocorrelations of the endogenous variables, shape (nlags + 1, neqs, neqs).