statsmodels.tsa.vector_ar.irf.IRAnalysis¶

class statsmodels.tsa.vector_ar.irf.IRAnalysis(model, P=None, periods=10, order=None, svar=False, vecm=False)[source]¶

Impulse response analysis class. Computes impulse responses, asymptotic standard errors, and produces relevant plots

Parameters:¶

modelVAR instance

Attributes:¶

G

H

Notes

Using Lütkepohl (2005) notation

Methods

cov([orth])	Compute asymptotic standard errors for impulse response coefficients
cum_effect_cov([orth])	Compute asymptotic standard errors for cumulative impulse response coefficients
cum_effect_stderr([orth])
cum_errband_mc([orth, repl, signif, seed, burn])	IRF Monte Carlo integrated error bands of cumulative effect
err_band_sz1([orth, svar, repl, signif, ...])	IRF Sims-Zha error band method 1.
err_band_sz2([orth, svar, repl, signif, ...])	IRF Sims-Zha error band method 2.
err_band_sz3([orth, svar, repl, signif, ...])	IRF Sims-Zha error band method 3.
errband_mc([orth, svar, repl, signif, seed, ...])	IRF Monte Carlo integrated error bands
fevd_table()
lr_effect_cov([orth])	Returns:
lr_effect_stderr([orth])
plot([orth, impulse, response, signif, ...])	Plot impulse responses
plot_cum_effects([orth, impulse, response, ...])	Plot cumulative impulse response functions
stderr([orth])

Properties

G
H