statsmodels.tsa.vector_ar.irf.IRAnalysis

class statsmodels.tsa.vector_ar.irf.IRAnalysis(model, P=None, periods=10, order=None, svar=False, vecm=False)

Impulse response analysis class. Computes impulse responses, asymptotic standard errors, and produces relevant plots

Parameters:

modelVAR, SVAR, or VECM instance

The fitted model used to compute impulse responses.

Pndarray, optional

The matrix used for orthogonalization, satisfying sigma_u = P P’. If None, computed as the Cholesky decomposition of the model’s residual covariance matrix.

periodsint, default 10

Number of periods to compute the impulse responses for.

ordersequence, optional

Alternate variable order for the Cholesky decomposition. Not currently implemented.

svarbool, default False

Flag indicating whether the model is a structural VAR.

vecmbool, default False

Flag indicating whether the model is a VECM.

Attributes:

G

H

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_errband_mc([orth, repl, signif, rng, 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, rng, burn])	IRF Monte Carlo integrated error bands
lr_effect_cov([orth])	Compute asymptotic standard errors for long-run effects
plot([orth, impulse, response, signif, ...])	Plot impulse responses
plot_cum_effects([orth, impulse, response, ...])	Plot cumulative impulse response functions

cum_effect_stderr
fevd_table
lr_effect_stderr
stderr

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, rng, 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, rng, burn])	IRF Monte Carlo integrated error bands
fevd_table()
lr_effect_cov([orth])	Compute asymptotic standard errors for long-run effects
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

G
H