statsmodels.tsa.vector_ar.svar_model.SVARResults.irf_resim¶
-
SVARResults.
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 orthogonalized 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.