gEconpy.model.statistics.autocovariance_matrix

gEconpy.model.statistics.autocovariance_matrix(model, T=None, R=None, shock_std_dict=None, shock_cov_matrix=None, shock_std=None, n_lags=10, correlation=False, return_xr=True, **solve_model_kwargs)

Compute the model’s autocovariance matrix using the stationary covariance matrix.

Alternatively, the autocorrelation matrix can be returned by specifying correlation = True.

Parameters:

model: Model

DSGE Model associated with T and R.

T: np.ndarray, optional

Transition matrix.

R: np.ndarray, optional

Selection matrix.

shock_std_dict: dict, optional

Shock standard deviations.

shock_cov_matrix: array, optional

Shock covariance matrix.

shock_std: float, optional

Common shock standard deviation.

n_lags: int

Number of lags. Default is 10.

correlation: bool

If True, return autocorrelation instead of autocovariance.

return_xr: bool

If True, return a DataArray.

**solve_model_kwargs

Forwarded to solve_model.

Returns:

acorr_matDataArray or ndarray