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IRAnalysis.cov()

statsmodels.tsa.vector_ar.irf.IRAnalysis.cov

IRAnalysis.cov(orth=False) [source]

Compute asymptotic standard errors for impulse response coefficients

Notes

Lutkepohl eq 3.7.5

Links:

http://statsmodels.sourceforge.net/stable/generated/statsmodels.tsa.vector_ar.irf.IRAnalysis.cov.html

doc_statsmodels

2017-01-18 16:10:42

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