statsmodels.tsa.vector_ar.irf.IRAnalysis.cov

IRAnalysis.cov(orth=False)

Compute asymptotic standard errors for impulse response coefficients

Parameters:

orthbool, optional

Compute orthogonalized impulse responses. The default is False.

Returns:

ndarray

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

Notes

Lütkepohl eq 3.7.5