VARResults.irf_errband_mc(orth=False, repl=1000, T=10, signif=0.05, seed=None, burn=100, cum=False)[source]

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

  • orth (bool, default False) – Compute orthoganalized impulse response error bands
  • repl (int) – number of Monte Carlo replications to perform
  • T (int, default 10) – 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
  • cum (bool, default False) – produce cumulative irf error bands


Lütkepohl (2005) Appendix D

Return type:Tuple of lower and upper arrays of ma_rep monte carlo standard errors