statsmodels.tsa.vector_ar.vecm.VECMResults.cov_var_repr¶
- VECMResults.cov_var_repr¶
Gives the covariance matrix of the corresponding VAR-representation.
More precisely, the covariance matrix of the vector consisting of the columns of the corresponding VAR coefficient matrices (i.e. vec(self.var_rep)).
Last update:
Dec 11, 2024