VECM example

VECM_example.ipynb

I had a problem with statsmodels.tsa.vecm.vecm (ModuleNotFoundError) and had to replace it with statsmodels.tsa.vector_ar.vecm (so the line would be from statsmodels.tsa.vector_ar.vecm import *) to make it work

Any idea why ?

Sorry for the late reply, @iTrooz! (I'm not that often on Github.)
I just had a look the code I wrote back then and I saw that I put my VECM code in its own direcotry (statsmodels/tsa/vecm/vecm). It looks like the statsmodels team moved the VECM-related code to the vector_ar directory after my code was merged into the statsmodels repository.

Very helpful. Thx!
I have a problem about forecast error variance decomposition (FEVD) that I didn't find relevant functions in statsmodels.tsa.vector_ar.vecm. Is FEVD not supported yet?

Hi @RangerShaw,
I think the best way to ask is to open a new issue in the statsmodels repository. As I stopped working on statsmodels almost six years ago, I am not sure what features were added since then.

Deeply thank you for your demostrartion ~~~

Thanks for useful example

Awesome and thanks for you sharing! I have a question, the function select_order is to find the best lags of VAR model based on information criteria. But the k_ar_diff in function select_coint_rank is the lagged difference (VECM function as well). Should they be subtracted one from the result of select_order? (means k_ar_diff =2 in select_coint_rank and VECM, but not 3 which is the best order in the result of select_order)