statsmodels.tsa.statespace.kalman_filter.KalmanFilter.impulse_responses¶

KalmanFilter.
impulse_responses
(steps=10, impulse=0, orthogonalized=False, cumulative=False, **kwargs)[source]¶ Impulse response function
Parameters:  steps (int, optional) – The number of steps for which impulse responses are calculated. Default is 10. Note that the initial impulse is not counted as a step, so if steps=1, the output will have 2 entries.
 impulse (int or array_like) – If an integer, the state innovation to pulse; must be between 0 and k_posdef1 where k_posdef is the same as in the state space model. Alternatively, a custom impulse vector may be provided; must be a column vector with shape (k_posdef, 1).
 orthogonalized (boolean, optional) – Whether or not to perform impulse using orthogonalized innovations. Note that this will also affect custum impulse vectors. Default is False.
 cumulative (boolean, optional) – Whether or not to return cumulative impulse responses. Default is False.
 **kwargs – If the model is timevarying and steps is greater than the number of observations, any of the state space representation matrices that are timevarying must have updated values provided for the outofsample steps. For example, if design is a timevarying component, nobs is 10, and steps is 15, a (k_endog x k_states x 5) matrix must be provided with the new design matrix values.
Returns: impulse_responses – Responses for each endogenous variable due to the impulse given by the impulse argument. A (steps + 1 x k_endog) array.
Return type: array
Notes
Intercepts in the measurement and state equation are ignored when calculating impulse responses.