statsmodels.tsa.vector_ar.var_model.VARResults.cov_ybar¶

VARResults.cov_ybar()[source]¶

Asymptotically consistent estimate of covariance of the sample mean

$$\begin{array}{r}\begin{array}{c}\begin{array}{c}\sqrt{(}T)(\overline{y}-\mu )\to \mathcal{N}(0,{\mathrm{\Sigma }}_{\overline{y}})\end{array}\\ {\mathrm{\Sigma }}_{\overline{y}}=B{\mathrm{\Sigma }}_u{B}^{\prime },\text{where }B=(I_K-A_1-\cdots -A_p{)}^{-1}\end{array}\end{array}$$

Notes

Lütkepohl Proposition 3.3