statsmodels.tsa.vector_ar.irf.IRAnalysis
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class statsmodels.tsa.vector_ar.irf.IRAnalysis(model, P=None, periods=10, order=None, svar=False)
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Impulse response analysis class. Computes impulse responses, asymptotic standard errors, and produces relevant plots
Parameters: model : VAR instance Notes
Using Lutkepohl (2005) notation
Methods
G
()H
()cov
([orth])Compute asymptotic standard errors for impulse response coefficients cum_effect_cov
([orth])Compute asymptotic standard errors for cumulative impulse response cum_effect_stderr
([orth])cum_errband_mc
([orth, repl, signif, seed, burn])IRF Monte Carlo integrated error bands of cumulative effect err_band_sz1
([orth, svar, repl, signif, ...])IRF Sims-Zha error band method 1. err_band_sz2
([orth, repl, signif, seed, ...])IRF Sims-Zha error band method 2. err_band_sz3
([orth, repl, signif, seed, ...])IRF Sims-Zha error band method 3. errband_mc
([orth, svar, repl, signif, seed, ...])IRF Monte Carlo integrated error bands fevd_table
()lr_effect_cov
([orth])lr_effect_stderr
([orth])plot
([orth, impulse, response, signif, ...])Plot impulse responses plot_cum_effects
([orth, impulse, response, ...])Plot cumulative impulse response functions stderr
([orth])
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