statsmodels.tsa.vector_ar.var_model.VARResults.cov_params

VARResults.cov_params() [source]

Estimated variance-covariance of model coefficients

Notes

Covariance of vec(B), where B is the matrix [params_for_deterministic_terms, A_1, …, A_p] with the shape (K x (Kp + number_of_deterministic_terms)) Adjusted to be an unbiased estimator Ref: Lütkepohl p.74-75