Why does my forecast/prediction using a VAR in statsmodels quickly converge to zero?
Outline: I am using a vector autoregression (VAR) model from the statsmodel package https://www.statsmodels.org/stable/vector_ar.html#var.
Outline: I am using a vector autoregression (VAR) model from the statsmodel package https://www.statsmodels.org/stable/vector_ar.html#var.