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statsmodels.tsa.vector_ar.var_model.VARResults.irf_resim

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

Simulates impulse response function, returning an array of simulations. Used for Sims-Zha error band calculation.

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:

Array of simulated impulse response functions :

Notes

Sims, Christoper A., and Tao Zha. 1999. “Error Bands for Impulse Response.” Econometrica 67: 1113-1155.

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