statsmodels.tsa.vector_ar.irf.IRAnalysis.cum_effect_cov¶
- IRAnalysis.cum_effect_cov(orth=False)[source]¶
Compute asymptotic standard errors for cumulative impulse response coefficients
Notes
eq. 3.7.7 (non-orth), 3.7.10 (orth)
Last update:
Jun 10, 2024