[pystatsmodels] VARMA

[Georgios Boumis]

I would like to know if the is something similar to VARMA so I can fit a multivariate time series that has seasonal components. It seems that VARMA is only relevant with series that do not have seasonality.

[Chad Fulton]

Post by Georgios Boumis
I would like to know if the is something similar to VARMA so I can fit a
multivariate time series that has seasonal components. It seems that VARMA
is only relevant with series that do not have seasonality.

We do not have a multivariate seasonal mode built in. Of course one could
build one via the state space infrastructure, but you might be better off
seasonally adjusting your data individually (e.g. X13) to start with and
then using a regular VAR.

Chad