statsmodels.tsa.vector_ar.svar_model.SVARResults.irf_resim#

SVARResults.irf_resim(orth=False, repl=1000, steps=10, rng=None, burn=100, cum=False)#

Simulates impulse response function, returning an array of simulations. Used for Sims-Zha error band calculation.

Parameters:

orthbool, default False: Compute orthogonalized impulse response error bands
replint: number of Monte Carlo replications to perform
stepsint, default 10: number of impulse response periods
signiffloat (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 for replications
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.
burnint: number of initial observations to discard for simulation
cumbool, default False: produce cumulative irf error bands

Returns:

Notes