statsmodels.tsa.vector_ar.svar_model.SVARResults.forecast_cov¶
- SVARResults.forecast_cov(steps=1, method='mse')¶
Compute forecast covariance matrices for desired number of steps
Notes
\[\Sigma_{\hat y}(h) = \Sigma_y(h) + \Omega(h) / T\]Ref: Lütkepohl pp. 96-97
Last update:
Jun 10, 2024