IRAnalysis.err_band_sz2(orth=False, svar=False, repl=1000, signif=0.05, seed=None, burn=100, component=None)
[source]
IRF Sims-Zha error band method 2.
This method Does not assume symmetric error bands around mean.
Parameters: |
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Sims, Christopher A., and Tao Zha. 1999. “Error Bands for Impulse Response”. Econometrica 67: 1113-1155.
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© 2006 Jonathan E. Taylor
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http://www.statsmodels.org/stable/generated/statsmodels.tsa.vector_ar.irf.IRAnalysis.err_band_sz2.html