statsmodels.tsa.vector_ar.irf.IRAnalysis.err_band_sz2

IRAnalysis.err_band_sz2(orth=False, svar=False, repl=1000, signif=0.05, seed=None, burn=100, component=None)

IRF Sims-Zha error band method 2.

This method Does not assume symmetric error bands around mean.

Parameters

orthbool, default False

Compute orthogonalized impulse responses

replint, default 1000

Number of MC replications

signiffloat (0 < signif < 1)

Significance level for error bars, defaults to 95% CI

seedint, default None

np.random seed

burnint, default 100

Number of initial simulated obs to discard

componentneqs x neqs array, default to largest for each

Index of column of eigenvector/value to use for each error band Note: period of impulse (t=0) is not included when computing principle component

References

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