statsmodels.tsa.vector_ar.var_model.VARResults.cov_params¶
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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