Yes, I assume that you mean signing a statement that is returned via the POST binding (see SAML 2.0 Profiles , section 4.1.4.5). The SAML 2.0 specification requires it to be signed for SSO, but is not part of the signed or self-signed CA specification.
Check with your software (both the IdP side and the SP side) to find out what is supported - some of them have limitations in this regard.
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