statsmodels.tsa.vector_ar.svar_model.SVARResults.sirf_errband_mc¶
-
SVARResults.
sirf_errband_mc
(orth=False, repl=1000, steps=10, signif=0.05, seed=None, burn=100, cum=False)[source]¶ Compute Monte Carlo integrated error bands assuming normally distributed for impulse response functions
- 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
Tuple
of
lower
and
upper
arrays
of
ma_rep
monte
carlo
standard
errors
Notes
Lütkepohl (2005) Appendix D