statsmodels.tsa.vector_ar.irf.IRAnalysis.cum_errband_mc#
- IRAnalysis.cum_errband_mc(orth=False, repl=1000, signif=0.05, rng=None, burn=100)[source]#
IRF Monte Carlo integrated error bands of cumulative effect
- Parameters:
- orthbool,
defaultFalse Compute orthogonalized impulse responses
- svarbool,
defaultFalse Use structural IRFs
- repl
int,default1000 Number of MC replications
- signif
float(0 <signif< 1) Significance level for error bars, defaults to 95% CI
- rng{
None,int, array_like[int],numpy.random.Generator,numpy.random.RandomState},optional np.random seed
- seed{
None,int, array_like[int],numpy.random.Generator,numpy.random.RandomState},optional Deprecated since version 0.15: seed has been deprecated. In-line with SPEC-007, use rng for passing a random number generator or seed.
- burn
int,default100 Number of initial simulated obs to discard
- orthbool,