Impulse response analysis class. Computes impulse responses, asymptotic standard errors, and produces relevant plots
Parameters : | model : VAR instance |
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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]) | |
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]) |