statsmodels.tsa.vector_ar.var_model.VARResults.irf¶
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VARResults.
irf
(periods=10, var_decomp=None, var_order=None)[source]¶ Analyze impulse responses to shocks in system
Parameters: periods : int
var_decomp : ndarray (k x k), lower triangular
Must satisfy Omega = P P’, where P is the passed matrix. Defaults to Cholesky decomposition of Omega
var_order : sequence
Alternate variable order for Cholesky decomposition
Returns: irf : IRAnalysis