VARResults.irf_resim()

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.