Seasonality in a VAR model (Python)

When I run a VECM in Python, for instance,

model = VECM(df, deterministic="ci", seasons=12,               k_ar_diff = 12,               coint_rank=1)  vecm_res = model.fit()  vecm_res.summary()  

I can add seasonal monthly dummy variables with the parameter "seasons". This possibility does not exist in the generic function for VAR models in Python. I would like to do something similar when I run a VAR model, but I don't know how.

https://stackoverflow.com/questions/67249393/seasonality-in-a-var-model-python April 25, 2021 at 11:06AM