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: |
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Lütkepohl (2005) Appendix D
Returns: | |
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Return type: | Tuple of lower and upper arrays of ma_rep monte carlo standard errors |
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© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.vector_ar.var_model.VARResults.irf_errband_mc.html