statsmodels.tsa.vector_ar.svar_model.SVARResults.forecast_cov¶
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SVARResults.
forecast_cov
(steps=1, method='mse')¶ Compute forecast covariance matrices for desired number of steps
Parameters: steps : int Returns: covs : ndarray (steps x k x k) Notes
\[\Sigma_{\hat y}(h) = \Sigma_y(h) + \Omega(h) / T\]Ref: Lütkepohl pp. 96-97