statsmodels.tsa.vector_ar.var_model.VARResults.irf_resim¶

VARResults.irf_resim(orth=False, repl=1000, steps=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 orthogonalized impulse response error bands
repl : int¶: number of Monte Carlo replications to perform
steps : 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

Notes