statsmodels.tsa.vector_ar.svar_model.SVARResults.cov_params

SVARResults.cov_params()

Estimated variance-covariance of model coefficients

Notes

Covariance of vec(B), where B is the matrix [params_for_deterministic_terms, A_1, …, A_p] with the shape (K x (Kp + number_of_deterministic_terms)) Adjusted to be an unbiased estimator Ref: Lütkepohl p.74-75


Last update: Feb 28, 2024