static VARResults.cov_params()

statsmodels.tsa.vector_ar.var_model.VARResults.cov_params

static VARResults.cov_params() [source]

Estimated variance-covariance of model coefficients

Notes

Covariance of vec(B), where B is the matrix [intercept, A_1, ..., A_p] (K x (Kp + 1)) Adjusted to be an unbiased estimator Ref: Lutkepohl p.74-75

doc_statsmodels
2017-01-18 16:19:06
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