statsmodels.tsa.vector_ar.var_model.VARResults.cov_params

VARResults.cov_params()

Estimated variance-covariance of model coefficients

Notes

Covariance of vec(B), where B is the matrix [intercept, A_1, ..., A_p] (K x (Kp + 1)) Adjusted to be an unbiased estimator Ref: Lutkepohl p.74-75