I'm trying to replicate statsmodels's Autoreg, with this wrapper and Ridge Regression. Results seems to be on point, however statsmodel gives the option to choose the exact lags to be included in the model.
Is there such an option in the get_sklearn_wrapper method?
I'm trying to replicate statsmodels's Autoreg, with this wrapper and Ridge Regression. Results seems to be on point, however statsmodel gives the option to choose the exact lags to be included in the model.
Is there such an option in the get_sklearn_wrapper method?