VARMAX.impulse_responses()
statsmodels.tsa.statespace.varmax.VARMAX.impulse_responses
-
VARMAX.impulse_responses(params, steps=1, impulse=0, orthogonalized=False, cumulative=False, **kwargs)
-
Impulse response function
Parameters: params : array_like
Array of model parameters.
steps : int, optional
The number of steps for which impulse responses are calculated. Default is 1. Note that the initial impulse is not counted as a step, so if
steps=1
, the output will have 2 entries.impulse : int or array_like
If an integer, the state innovation to pulse; must be between 0 and
k_posdef-1
. Alternatively, a custom impulse vector may be provided; must be shapedk_posdef x 1
.orthogonalized : boolean, optional
Whether or not to perform impulse using orthogonalized innovations. Note that this will also affect custum
impulse
vectors. Default is False.cumulative : boolean, optional
Whether or not to return cumulative impulse responses. Default is False.
**kwargs
If the model is time-varying and
steps
is greater than the number of observations, any of the state space representation matrices that are time-varying must have updated values provided for the out-of-sample steps. For example, ifdesign
is a time-varying component,nobs
is 10, andsteps
is 15, a (k_endog
xk_states
x 5) matrix must be provided with the new design matrix values.Returns: impulse_responses : array
Responses for each endogenous variable due to the impulse given by the
impulse
argument. A (steps + 1 x k_endog) array.Notes
Intercepts in the measurement and state equation are ignored when calculating impulse responses.
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.statespace.varmax.VARMAX.impulse_responses.html