gEconpy.model.statistics.stationary_covariance_matrix

gEconpy.model.statistics.stationary_covariance_matrix(model, T=None, R=None, shock_std_dict=None, shock_cov_matrix=None, shock_std=None, return_df=True, **solve_model_kwargs)

Compute the stationary covariance matrix of the solved system.

Solution is found by solving the associated discrete Lyapunov equation.

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.

return_df: bool

If True, return a DataFrame.

**solve_model_kwargs

Forwarded to solve_model.

Returns:

Sigmandarray or DataFrame