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statsmodels.tsa.vector_ar.var_model.VARResults.irf

VARResults.irf(periods=10, var_decomp=None, var_order=None)[source]

Analyze impulse responses to shocks in system

Parameters:

periods : int

var_decomp : ndarray (k x k), lower triangular

Must satisfy Omega = P P’, where P is the passed matrix. Defaults to Cholesky decomposition of Omega

var_order : sequence

Alternate variable order for Cholesky decomposition

Returns:

irf : IRAnalysis

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