statsmodels.tsa.vector_ar.irf.IRAnalysis.err_band_sz1¶
-
IRAnalysis.err_band_sz1(orth=
False
, svar=False
, repl=1000
, signif=0.05
, seed=None
, burn=100
, component=None
)[source]¶ IRF Sims-Zha error band method 1. Assumes symmetric error bands around mean.
- Parameters:¶
- orthbool,
default
False
Compute orthogonalized impulse responses
- repl
int
,default
1000 Number of MC replications
- signif
float
(0 <signif
< 1) Significance level for error bars, defaults to 95% CI
- seed
int
,default
None
np.random seed
- burn
int
,default
100 Number of initial simulated obs to discard
- component
neqs
x
neqs
array
,default
to
largest
for
each
Index of column of eigenvector/value to use for each error band Note: period of impulse (t=0) is not included when computing principle component
- orthbool,
References
Sims, Christopher A., and Tao Zha. 1999. “Error Bands for Impulse Response”. Econometrica 67: 1113-1155.
Last update:
Oct 29, 2024