statsmodels.tsa.vector_ar.var_model.VARResults.irf_errband_mc

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

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

Parameters:

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

Returns:

Tuple of lower and upper arrays of ma_rep monte carlo standard errors

Notes

Lutkepohl (2005) Appendix D