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

orthbool, default False

Compute orthogonalized impulse response error bands

replint

number of Monte Carlo replications to perform

stepsint, default 10

number of impulse response periods

signiffloat (0 < signif <1)

Significance level for error bars, defaults to 95% CI

seedint

np.random.seed for replications

burnint

number of initial observations to discard for simulation

cumbool, 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.