LQM Registry / econometrics
VAR(1) Multivariate Econometric Model
Multivariate VAR(1) estimation by OLS with residual covariance, per-series diagnostics and recursive multi-step forecasts.
Model key
lq.econometrics.var1Version1.0.0
Runtimepython-process
Model contract
Inputs are explicit.
{
"type": "object",
"required": [
"series"
],
"properties": {
"series": {
"type": "array",
"minItems": 12
}
}
}Output contract
Outputs are explicit.
{
"type": "object",
"required": [
"intercept",
"lag1_coefficients",
"residual_covariance",
"forecast",
"rmse_by_series"
]
}Default parameters
{
"horizon": 5,
"ridge": 1.0000000000000000209225608301284726753266340892878361046314239501953125e-8
}Example input
{
"series": [
[
1,
2
],
[
1.1999999999999999555910790149937383830547332763671875,
2.100000000000000088817841970012523233890533447265625
],
[
1.350000000000000088817841970012523233890533447265625,
2.25
],
[
1.5,
2.29999999999999982236431605997495353221893310546875
],
[
1.6999999999999999555910790149937383830547332763671875,
2.45000000000000017763568394002504646778106689453125
],
[
1.850000000000000088817841970012523233890533447265625,
2.600000000000000088817841970012523233890533447265625
],
[
2,
2.70000000000000017763568394002504646778106689453125
],
[
2.149999999999999911182158029987476766109466552734375,
2.850000000000000088817841970012523233890533447265625
],
[
2.29999999999999982236431605997495353221893310546875,
3
],
[
2.5,
3.100000000000000088817841970012523233890533447265625
],
[
2.649999999999999911182158029987476766109466552734375,
3.29999999999999982236431605997495353221893310546875
],
[
2.79999999999999982236431605997495353221893310546875,
3.399999999999999911182158029987476766109466552734375
],
[
3,
3.54999999999999982236431605997495353221893310546875
],
[
3.20000000000000017763568394002504646778106689453125,
3.70000000000000017763568394002504646778106689453125
]
]
}