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statsmodels.regression.recursive_ls.RecursiveLS.impulse_responses

RecursiveLS.impulse_responses(params, steps=1, impulse=0, orthogonalized=False, cumulative=False, **kwargs)

Impulse response function

Parameters:
  • params (array_like) – Array of model parameters.
  • steps (int, optional) – The number of steps for which impulse responses are calculated. Default is 1. Note that the initial impulse is not counted as a step, so if steps=1, the output will have 2 entries.
  • impulse (int or array_like) – If an integer, the state innovation to pulse; must be between 0 and k_posdef-1. Alternatively, a custom impulse vector may be provided; must be shaped k_posdef x 1.
  • orthogonalized (boolean, optional) – Whether or not to perform impulse using orthogonalized innovations. Note that this will also affect custum impulse vectors. Default is False.
  • cumulative (boolean, optional) – Whether or not to return cumulative impulse responses. Default is False.
  • **kwargs – If the model is time-varying and steps is greater than the number of observations, any of the state space representation matrices that are time-varying must have updated values provided for the out-of-sample steps. For example, if design is a time-varying component, nobs is 10, and steps is 15, a (k_endog x k_states x 5) matrix must be provided with the new design matrix values.
Returns:

impulse_responses – Responses for each endogenous variable due to the impulse given by the impulse argument. A (steps + 1 x k_endog) array.

Return type:

array

Notes

Intercepts in the measurement and state equation are ignored when calculating impulse responses.

© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.regression.recursive_ls.RecursiveLS.impulse_responses.html