statsmodels.tsa.vector_ar.local_proj.LocalProjectionsResults

class statsmodels.tsa.vector_ar.local_proj.LocalProjectionsResults(model, irfs, stderr)

Results from a fitted LocalProjections model.

Attributes:

irfsndarray, shape (H+1, n_endog, n_shock)

Estimated impulse responses. irfs[h, i, j] is the response of variable i to shock j at horizon h.

stderrndarray, shape (H+1, n_endog, n_shock)

Newey-West standard errors for each IRF coefficient.

modelLocalProjections

The model instance.

nobsint

Number of observations used (after trimming for lags and max horizon).

Methods

conf_int([alpha])	Pointwise confidence intervals for all impulse responses.
cumulative_effects()	Cumulative sum of IRFs across horizons.
plot_irfs([impulse, response, alpha, ...])	Plot impulse response functions with confidence bands.

Methods

conf_int([alpha])	Pointwise confidence intervals for all impulse responses.
cumulative_effects()	Cumulative sum of IRFs across horizons.
plot_irfs([impulse, response, alpha, ...])	Plot impulse response functions with confidence bands.

Properties

horizons