statsmodels.sandbox.sysreg.SUR.whiten

SUR.whiten(X)[source]

SUR whiten method.

Parameters:X (list of arrays) – Data to be whitened.
Returns:
  • If X is the exogenous RHS of the system.
  • np.dot(np.kron(cholsigmainv,np.eye(M)),np.diag(X))
  • If X is the endogenous LHS of the system.