Logo

statsmodels.tsa.vector_ar.var_model.VARResults.irf_errband_mc

VARResults.irf_errband_mc(orth=False, repl=1000, T=10, signif=0.05, seed=None, burn=100, cum=False)[source]

Compute Monte Carlo integrated error bands assuming normally distributed for impulse response functions

Parameters:

orth: bool, default False :

Compute orthoganalized impulse response error bands

repl: int :

number of Monte Carlo replications to perform

T: int, default 10 :

number of impulse response periods

signif: float (0 < signif <1) :

Significance level for error bars, defaults to 95% CI

seed: int :

np.random.seed for replications

burn: int :

number of initial observations to discard for simulation

cum: bool, default False :

produce cumulative irf error bands

Returns:

Tuple of lower and upper arrays of ma_rep monte carlo standard errors :

Notes

Lutkepohl (2005) Appendix D

Previous topic

statsmodels.tsa.vector_ar.var_model.VARResults.irf

Next topic

statsmodels.tsa.vector_ar.var_model.VARResults.irf_resim

This Page