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IRAnalysis.cum_effect_cov()

statsmodels.tsa.vector_ar.irf.IRAnalysis.cum_effect_cov

IRAnalysis.cum_effect_cov(orth=False) [source]

Compute asymptotic standard errors for cumulative impulse response coefficients

Parameters:	orth : boolean

Notes

eq. 3.7.7 (non-orth), 3.7.10 (orth)

Links:

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

doc_statsmodels

2017-01-18 16:10:43

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