# statsmodels.tsa.vector_ar.irf.IRAnalysis¶

class statsmodels.tsa.vector_ar.irf.IRAnalysis(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`
Attributes:
G
H

Notes

Using Lütkepohl (2005) notation

Methods

 `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 `lr_effect_cov`([orth]) Returns: `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])

Properties

Last update: Sep 07, 2024