statsmodels.tsa.vector_ar.var_model.VARResults.irf_errband_mc
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VARResults.irf_errband_mc(orth=False, repl=1000, T=10, signif=0.05, seed=None, burn=100, cum=False)
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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
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