Python矢量误差修正模型

Question

任何人都知道如何在python中建模VECM？我在statsmodels包中找不到它。

Answer 1

https://gist.github.com/yogabonito/5461b26bed335cad6907aa4e613acb99

在此git链接中，他们使用VECM在python中实现了模型

一些重要的代码部分在这里

%matplotlib inline
import pandas
from statsmodels.tsa.vecm.vecm import VECM, select_order
import data as dta
iidata = dta.load_pandas();
mdata = iidata.data
dates = mdata[['year', 'quarter']].astype(int).astype(str)
quarterly = dates["year"] + "Q" + dates["quarter"]
from statsmodels.tsa.base.datetools import dates_from_str
quarterly = dates_from_str(quarterly)
mdata = mdata[dta.variable_names]
mdata.index = pandas.DatetimeIndex(quarterly)
data = mdata
model = VECM(data, diff_lags=3, coint_rank=1)
vecm_res = model.fit()
vecm_res.gamma.round(4)
vecm_res.summary()
[![vecm_res.predict(steps=5)
forecast, lower, upper = vecm_res.predict(5, 0.05)
print("lower bounds of confidence intervals:")
print(lower.round(3))
print("\npoint forecasts:")
print(forecast.round(3))
print("\nupper bounds of confidence intervals:")
print(upper.round(3))
vecm_res.plot_forecast(steps=10)][1]][1]

此处显示的输出预测：

om / 1BVSA.png