statsmodels.tsa.vector_ar.var_model.VARResults.irf_resim¶

VARResults.irf_resim(orth=False, repl=1000, steps=10, seed=None, burn=100, cum=False)[source]¶

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

Parameters:

orth (bool, 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
cum (bool, default False) – produce cumulative irf error bands

Notes