statsmodels.tsa.vector_ar.var_model.VARResults.irf_resim¶
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VARResults.irf_resim(orth=False, repl=1000, steps=10, seed=None, burn=100, cum=False)[source]¶ Simulates impulse response function, returning an array of simulations. Used for Sims-Zha error band calculation.
- Parameters
- orthbool,
defaultFalse Compute orthogonalized impulse response error bands
- repl
int number of Monte Carlo replications to perform
- steps
int,default10 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
- cumbool,
defaultFalse produce cumulative irf error bands
- orthbool,
- Returns
Arrayofsimulatedimpulseresponsefunctions
Notes
- *
Sims, Christoper A., and Tao Zha. 1999. “Error Bands for Impulse Response.” Econometrica 67: 1113-1155.