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
- model
VARinstance
- model
Notes
Using Lütkepohl (2005) notation
- Attributes
- G
- H
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
cum_effect_stderr
fevd_table
lr_effect_stderr
stderr
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_effect_stderr([orth])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])lr_effect_stderr([orth])plot([orth, impulse, response, signif, …])Plot impulse responses
plot_cum_effects([orth, impulse, response, …])Plot cumulative impulse response functions
stderr([orth])Properties