Impulse response analysis class. Computes impulse responses, asymptotic standard errors, and produces relevant plots
| Parameters: | model : VAR instance |
|---|
Notes
Using Lutkepohl (2005) notation
Methods
| G() | |
| H() | |
| 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]) | |
| 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, repl, signif, seed, ...]) | IRF Sims-Zha error band method 2. |
| err_band_sz3([orth, repl, signif, seed, ...]) | 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]) |