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statsmodels.tsa.vector_ar.var_model.VARResults.cov_ybar

VARResults.cov_ybar()[source]

Asymptotically consistent estimate of covariance of the sample mean

\sqrt(T) (\bar{y} - \mu) \rightarrow {\cal N}(0, \Sigma_{\bar{y}})\\

\Sigma_{\bar{y}} = B \Sigma_u B^\prime, \text{where } B = (I_K - A_1
- \cdots - A_p)^{-1}

Notes

Lutkepohl Proposition 3.3

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