statsmodels.tsa.vector_ar.var_model.VARResults.irf_errband_mc

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:

orth (bool, default False) – Compute orthoganalized impulse response error bands repl (int) – number of Monte Carlo replications to perform T (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

Returns:
Return type:	Tuple of lower and upper arrays of ma_rep monte carlo standard errors