Skip to content

statsmodels 0.13.5 statsmodels.tsa.vector_ar.irf.IRAnalysis.cov

statsmodels.tsa.vector_ar.irf.IRAnalysis.cov¶

IRAnalysis.cov(orth=False)[source]¶

Compute asymptotic standard errors for impulse response coefficients

Returns:

Notes

Lütkepohl eq 3.7.5