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