I want to implement vector autoregression in Python. My data is saved as a list of 3 lists. I found this - http://statsmodels.sourceforge.net/stable/vector_ar.html#var , but could not find the correct implementation method.
Suppose tsdata is a list of 3 lists of 100 each, this is my data. I did my best
varmodel = ts.VAR(tsdata) results = varmodel.fit(maxlags=5, ic='aic')
But the above does not work.
Update : I changed the list of lists to a stack of columns as suggested below. Now it works fine. So tsdata, which was a list of lists, is changed to
tsdata = np.column_stack(tsdata)
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