VECMResults.cov_var_repr() [source]
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)).
| Returns: | cov |
|---|---|
| Return type: | array (neqs**2 * k_ar x neqs**2 * k_ar) |
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© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.vector_ar.vecm.VECMResults.cov_var_repr.html