statsmodels.tsa.vector_ar.var_model.VARResults.cov_ybar

VARResults.cov_ybar()[source]

Asymptotically consistent estimate of covariance of the sample mean

\[ \begin{align}\begin{aligned}\begin{split}\sqrt(T) (\bar{y} - \mu) \rightarrow {\cal N}(0, \Sigma_{\bar{y}}) \\\end{split}\\\Sigma_{\bar{y}} = B \Sigma_u B^\prime, \text{where } B = (I_K - A_1 - \cdots - A_p)^{-1}\end{aligned}\end{align} \]

Notes

Lütkepohl Proposition 3.3


Last update: Jun 01, 2024