statsmodels.tsa.vector_ar.irf.IRAnalysis.err_band_sz2

IRAnalysis.err_band_sz2(orth=False, repl=1000, signif=0.05, seed=None, burn=100, component=None)

IRF Sims-Zha error band method 2.

This method Does not assume symmetric error bands around mean.

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

References

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