IdentifiedVAR¶
IdentifiedVAR — structural VAR with identified shocks.
IdentifiedVAR
¶
Bases: BaseModel
Immutable structural VAR with identified shocks.
Attributes:
| Name | Type | Description |
|---|---|---|
idata |
InferenceData
|
InferenceData with structural_shock_matrix in posterior. |
n_lags |
int
|
Lag order. |
data |
VARData
|
Original VARData. |
var_names |
list[str]
|
Endogenous variable names. |
fevd(horizon=20)
¶
Alias for forecast_error_variance_decomposition.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
horizon
|
int
|
Number of periods. |
20
|
Returns:
| Type | Description |
|---|---|
FEVDResult
|
FEVDResult. |
forecast_error_variance_decomposition(horizon=20)
¶
Compute forecast error variance decomposition.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
horizon
|
int
|
Number of periods. |
20
|
Returns:
| Type | Description |
|---|---|
FEVDResult
|
FEVDResult with FEVD posterior draws. |
historical_decomposition(start=None, end=None, cumulative=False)
¶
Compute historical decomposition of observed series.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
start
|
Timestamp | None
|
Optional start date to restrict decomposition. |
None
|
end
|
Timestamp | None
|
Optional end date to restrict decomposition. |
None
|
cumulative
|
bool
|
If True, return cumulative shock contributions. |
False
|
Returns:
| Type | Description |
|---|---|
HistoricalDecompositionResult
|
HistoricalDecompositionResult. |