Seasonality and VAR

[burakb]

Hi all,

What is the standard way of including seasonality in a VAR model? I saw a "freq" option for VAR, but wasnt sure how to use it. This page

http://statsmodels.sourceforge.net/devel/tsa.html

also talks about sandbox.tsa.fftarma. I have seasonality in a 7 day period (week), it'd be better of course this is detected by the fitting procedure, as well as other periods, if they exists in the data.

Thanks,

[Skipper Seabold]

We don't currently have much on seasonality and almost nothing for the
VARs. The frequency option is just with respect to the dates of the
series.

This is an area I hope to improve this fall for the next release after
0.5, time permitting. Any pull requests or discussions of what you
need or want would be useful.

Skipper