class statsmodels.tsa.vector_ar.irf.IRAnalysis(model, P=None, periods=10, order=None, svar=False, vecm=False)
[source]
Impulse response analysis class. Computes impulse responses, asymptotic standard errors, and produces relevant plots
Parameters: | model (VAR instance) – |
---|
Using Lütkepohl (2005) notation
G () | |
H () | |
cov ([orth]) | Compute asymptotic standard errors for impulse response coefficients |
cum_effect_cov ([orth]) | Compute asymptotic standard errors for cumulative impulse response coefficients |
cum_effect_stderr ([orth]) | |
cum_errband_mc ([orth, repl, signif, seed, burn]) | IRF Monte Carlo integrated error bands of cumulative effect |
err_band_sz1 ([orth, svar, repl, signif, …]) | IRF Sims-Zha error band method 1. |
err_band_sz2 ([orth, svar, repl, signif, …]) | IRF Sims-Zha error band method 2. |
err_band_sz3 ([orth, svar, repl, signif, …]) | IRF Sims-Zha error band method 3. |
errband_mc ([orth, svar, repl, signif, seed, …]) | IRF Monte Carlo integrated error bands |
fevd_table () | |
lr_effect_cov ([orth]) | |
lr_effect_stderr ([orth]) | |
plot ([orth, impulse, response, signif, …]) | Plot impulse responses |
plot_cum_effects ([orth, impulse, response, …]) | Plot cumulative impulse response functions |
stderr ([orth]) |
© 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.tsa.vector_ar.irf.IRAnalysis.html