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homodigitus / var_model.py
Created January 22, 2022 09:17
var model functions
View var_model.py
import warnings
warnings.filterwarnings("ignore")
import pandas as pd
import numpy as np
from stargazer.stargazer import Stargazer
from arch.unitroot import ADF
from statsmodels.tsa.stattools import grangercausalitytests
from statsmodels.tsa.vector_ar.vecm import coint_johansen