IRAnalysis.err_band_sz3()

statsmodels.tsa.vector_ar.irf.IRAnalysis.err_band_sz3

IRAnalysis.err_band_sz3(orth=False, repl=1000, signif=0.05, seed=None, burn=100, component=None) [source]

IRF Sims-Zha error band method 3. Does not assume symmetric error bands around mean.

Parameters:

orth : bool, default False Compute orthogonalized impulse responses repl : int, default 1000 Number of MC replications signif : float (0 < signif < 1) Significance level for error bars, defaults to 95% CI seed : int, default None np.random seed burn : int, default 100 Number of initial simulated obs to discard component : vector length neqs, default to largest for each Index of column of eigenvector/value to use for each error band Note: period of impulse (t=0) is not included when computing principle component

References

Sims, Christopher A., and Tao Zha. 1999. “Error Bands for Impulse Response”. Econometrica 67: 1113-1155.