statsmodels.tsa.vector_ar.irf.IRAnalysis.err_band_sz3

IRAnalysis.err_band_sz3(orth=False, svar=False, repl=1000, signif=0.05, seed=None, burn=100, component=None)[source]

IRF Sims-Zha error band method 3. 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 (vector length neqs, 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.