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
Returns:

Notes

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


Last update: Dec 11, 2024