Simulates impulse response function, returning an array of simulations. Used for Sims-Zha error band calculation.
Parameters : | orth: bool, default False :
repl: int :
T: int, default 10 :
signif: float (0 < signif <1) :
seed: int :
burn: int :
cum: bool, default False :
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Returns : | Array of simulated impulse response functions : |
Notes
Sims, Christoper A., and Tao Zha. 1999. “Error Bands for Impulse Response.” Econometrica 67: 1113-1155.