statsmodels.tsa.vector_ar.vecm.VECMResults.cov_var_repr

VECMResults.cov_var_repr

Gives the covariance matrix of the corresponding VAR-representation.

More precisely, the covariance matrix of the vector consisting of the columns of the corresponding VAR coefficient matrices (i.e. vec(self.var_rep)).

Returns

covarray (neqs**2 * k_ar x neqs**2 * k_ar)