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
- 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