VARResults.irf_errband_mc()

statsmodels.tsa.vector_ar.var_model.VARResults.irf_errband_mc

VARResults.irf_errband_mc(orth=False, repl=1000, T=10, signif=0.05, seed=None, burn=100, cum=False) [source]

Compute Monte Carlo integrated error bands assuming normally distributed for impulse response functions

Parameters:

orth: bool, default False Compute orthoganalized impulse response error bands repl: int number of Monte Carlo replications to perform T: 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

Returns:

Tuple of lower and upper arrays of ma_rep monte carlo standard errors

Notes

Lutkepohl (2005) Appendix D