statsmodels.tsa.vector_ar.svar_model.SVARResults.forecast_cov

SVARResults.forecast_cov(steps=1, method='mse')

Compute forecast covariance matrices for desired number of steps

Parameters:
stepsint
Returns:
covsndarray (steps x k x k)

Notes

\[\Sigma_{\hat y}(h) = \Sigma_y(h) + \Omega(h) / T\]

Ref: Lütkepohl pp. 96-97


Last update: Feb 28, 2024