GibbsBVARResult.irf_bands#

GibbsBVARResult.irf_bands(horizon=20, *, orthogonalized=True, cumulative=False, shocks=None, responses=None)[source]#

Posterior bands of the impulse responses.

Parameters:

  • horizon (int) – Largest lead to return.

  • orthogonalized (bool) – Rotate each draw by its own Cholesky factor.

  • cumulative (bool) – Band the running sums instead.

  • shocks (Sequence[str] | None) – Shock variables to keep, in the order given; all when omitted. Subsetting bounds the memory of the per-draw response array, which is the binding constraint for large systems.

  • responses (Sequence[str] | None) – Responding variables to keep; all when omitted.

Return type:

NDArray[double]

Returns:

An array of shape (horizon + 1, n_responses, n_shocks, 3) whose last axis is (16th percentile, mean, 84th percentile) across draws.

Raises:

SpecificationError – If horizon is negative or a name is unknown.