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