statsmodels.tsa.vector_ar.var_model.VARResults.irf_resim

method

VARResults.irf_resim(orth=False, repl=1000, steps=10, seed=None, burn=100, cum=False)

Simulates impulse response function, returning an array of simulations. Used for Sims-Zha error band calculation.

Parameters

orth: bool, default False

Compute orthoganalized impulse response error bands

repl: int

number of Monte Carlo replications to perform

steps: int, default 10

number of impulse response periods

signif: float (0 < signif <1)

Significance level for error bars, defaults to 95% CI

seed: int

np.random.seed for replications

burn: int

number of initial observations to discard for simulation

cum: bool, default False

produce cumulative irf error bands

Returns

Array of simulated impulse response functions

Notes

*

Sims, Christoper A., and Tao Zha. 1999. “Error Bands for Impulse Response.” Econometrica 67: 1113-1155.