statsmodels.tsa.vector_ar.var_model.VARResults.irf_resim

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, 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