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:

orthbool, default False: Compute orthogonalized impulse responses

Returns:

ndarray: Array of shape (periods + 1, neqs ** 2, neqs ** 2) containing the covariance matrix of the cumulative impulse response coefficients for each period.

Notes

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