statsmodels.tsa.vector_ar.irf.IRAnalysis

class statsmodels.tsa.vector_ar.irf.IRAnalysis(model, P=None, periods=10, order=None, svar=False, vecm=False)[source]

Impulse response analysis class. Computes impulse responses, asymptotic standard errors, and produces relevant plots

Parameters

model (VAR instance) –

Notes

Using Lütkepohl (2005) notation

Methods

G()

H()

cov([orth])

Compute asymptotic standard errors for impulse response coefficients

cum_effect_cov([orth])

Compute asymptotic standard errors for cumulative impulse response coefficients

cum_effect_stderr([orth])

cum_errband_mc([orth, repl, signif, seed, burn])

IRF Monte Carlo integrated error bands of cumulative effect

err_band_sz1([orth, svar, repl, signif, …])

IRF Sims-Zha error band method 1.

err_band_sz2([orth, svar, repl, signif, …])

IRF Sims-Zha error band method 2.

err_band_sz3([orth, svar, repl, signif, …])

IRF Sims-Zha error band method 3.

errband_mc([orth, svar, repl, signif, seed, …])

IRF Monte Carlo integrated error bands

fevd_table()

lr_effect_cov([orth])

lr_effect_stderr([orth])

plot([orth, impulse, response, signif, …])

Plot impulse responses

plot_cum_effects([orth, impulse, response, …])

Plot cumulative impulse response functions

stderr([orth])