statsmodels.tsa.vector_ar.irf.IRAnalysis.cum_effect_cov¶

IRAnalysis.cum_effect_cov(orth=False)[ソース]¶

Compute asymptotic standard errors for cumulative impulse response coefficients

Parameters:¶

orthbool

Returns:¶

Notes

eq. 3.7.7 (non-orth), 3.7.10 (orth)