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scikits.statsmodels.tsa.vector_ar.irf.IRAnalysis

class scikits.statsmodels.tsa.vector_ar.irf.IRAnalysis(model, P=None, periods=10, order=None)[source]

Impulse response analysis class. Computes impulse responses, asymptotic standard errors, and produces relevant plots

Parameters :model : VAR instance

Notes

Using Lutkepohl (2005) notation

Methods

cov([orth]) Compute asymptotic standard errors for impulse response coefficients ..
cum_effect_cov([orth]) Compute asymptotic standard errors for cumulative impulse response
cum_effect_stderr([orth])
fevd_table()
lr_effect_cov([orth])
lr_effect_stderr([orth])
plot([orth, impulse, response, signif, ...]) Plot impulse responses
plot_cum_effects([orth, impulse, response, ...])
stderr([orth])

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