statsmodels.tsa.vector_ar.var_model.VARResults.irf

VARResults.irf(periods=10, var_decomp=None, var_order=None)

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

Return type:

IRAnalysis