statsmodels.tsa.vector_ar.irf.IRAnalysis.plot_cum_effects

IRAnalysis.plot_cum_effects(orth=False, impulse=None, response=None, signif=0.05, plot_params=None, subplot_params=None, plot_stderr=True, stderr_type='asym', repl=1000, seed=None)

Plot cumulative impulse response functions

Parameters:

• orth (bool, default False) – Compute orthogonalized impulse responses
• impulse (string or int) – variable providing the impulse
• response (string or int) – variable affected by the impulse
• signif (float (0 < signif < 1)) – Significance level for error bars, defaults to 95% CI
• subplot_params (dict) – To pass to subplot plotting funcions. Example: if fonts are too big, pass {‘fontsize’ : 8} or some number to your taste.
• plot_params (dict) –
• plot_stderr (bool, default True) – Plot standard impulse response error bands
• stderr_type (string) – ‘asym’: default, computes asymptotic standard errors ‘mc’: monte carlo standard errors (use rpl)
• repl (int, default 1000) – Number of replications for monte carlo standard errors
• seed (int) – np.random.seed for Monte Carlo replications