statsmodels.tsa.vector_ar.var_model.VARResults.irf_errband_mc

VARResults.irf_errband_mc(orth=False, repl=1000, steps=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 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

Lütkepohl (2005) Appendix D

Return type:

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