statsmodels.tsa.vector_ar.var_model.VARResults.mse¶ VARResults.mse(steps)¶ Compute theoretical forecast error variance matrices Parameters: stepsintNumber of steps ahead Returns: forc_covsndarray (steps x neqs x neqs) Notes \[\mathrm{MSE}(h) = \sum_{i=0}^{h-1} \Phi \Sigma_u \Phi^T\]