IRAnalysis.err_band_sz1()

IRAnalysis.err_band_sz1(orth=False, svar=False, repl=1000, signif=0.05, seed=None, burn=100, component=None) [source]

IRF Sims-Zha error band method 1. Assumes symmetric error bands around mean.

Parameters:

Parameters:	orth : bool, default False Compute orthogonalized impulse responses repl : int, default 1000 Number of MC replications signif : float (0 < signif < 1) Significance level for error bars, defaults to 95% CI seed : int, default None np.random seed burn : int, default 100 Number of initial simulated obs to discard component : neqs x neqs array, default to largest for each Index of column of eigenvector/value to use for each error band Note: period of impulse (t=0) is not included when computing principle component

orth : bool, default False

Compute orthogonalized impulse responses

repl : int, default 1000

Number of MC replications

signif : float (0 < signif < 1)

Significance level for error bars, defaults to 95% CI

seed : int, default None

np.random seed

burn : int, default 100

Number of initial simulated obs to discard

component : neqs x neqs array, default to largest for each

Index of column of eigenvector/value to use for each error band Note: period of impulse (t=0) is not included when computing principle component

Sims, Christopher A., and Tao Zha. 1999. ?Error Bands for Impulse Response?. Econometrica 67: 1113-1155.

Links:

doc_statsmodels

2017-01-18 16:10:44

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