statsmodels.tsa.vector_ar.var_model.VARResults.irf_errband_mc

VARResults.irf_errband_mc(orth=False, repl=1000, steps=10, signif=0.05, seed=None, burn=100, cum=False)

Compute Monte Carlo integrated error bands assuming normally distributed for impulse response functions

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

Tuple of lower and upper arrays of ma_rep monte carlo standard errors

Notes

Lütkepohl (2005) Appendix D