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

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_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
`lr_effect_cov`([orth])
`plot`([orth, impulse, response, signif, …])	Plot impulse responses
`plot_cum_effects`([orth, impulse, response, …])	Plot cumulative impulse response functions