statsmodels.tsa.vector_ar.svar_model.SVARResults.irf_resim¶
- SVARResults.irf_resim(orth=False, repl=1000, steps=10, seed=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
- repl
int
number of Monte Carlo replications to perform
- steps
int
,default
10 number of impulse response periods
- signif
float
(0 <signif
<1) Significance level for error bars, defaults to 95% CI
- seed
int
np.random.seed for replications
- burn
int
number of initial observations to discard for simulation
- cumbool,
default
False
produce cumulative irf error bands
- orthbool,
- Returns:
Array
of
simulated
impulse
response
functions
Notes