statsmodels.tsa.statespace.dynamic_factor.DynamicFactorResults.impulse_responses

method

DynamicFactorResults.impulse_responses(steps=1, impulse=0, orthogonalized=False, cumulative=False, **kwargs)

Impulse response function

Parameters

stepsint, optional

The number of steps for which impulse responses are calculated. Default is 1. Note that the initial impulse is not counted as a step, so if steps=1, the output will have 2 entries.

impulseint or array_like

If an integer, the state innovation to pulse; must be between 0 and k_posdef-1. Alternatively, a custom impulse vector may be provided; must be shaped k_posdef x 1.

orthogonalizedboolean, optional

Whether or not to perform impulse using orthogonalized innovations. Note that this will also affect custum impulse vectors. Default is False.

cumulativeboolean, optional

Whether or not to return cumulative impulse responses. Default is False.

**kwargs

If the model is time-varying and steps is greater than the number of observations, any of the state space representation matrices that are time-varying must have updated values provided for the out-of-sample steps. For example, if design is a time-varying component, nobs is 10, and steps is 15, a (k_endog x k_states x 5) matrix must be provided with the new design matrix values.

Returns

impulse_responsesarray

Responses for each endogenous variable due to the impulse given by the impulse argument. A (steps + 1 x k_endog) array.

Notes

Intercepts in the measurement and state equation are ignored when calculating impulse responses.