TVARResult.irf

TVARResult.irf(horizon=20, *, regime, orthogonalized=True, cumulative=False)

Impulse responses within one regime, held frozen.

Two declarations are being made at once here, and both are named in the signature rather than defaulted out of sight. Freezing the regime is a linearization: the response is exact only while the shock does not push the transition variable across the split, so read it as “the dynamics prevailing in this regime”, not as the response of the nonlinear process – that object requires simulation over histories (Koop-Pesaran-Potter 1996) and is deliberately not faked here. Orthogonalization is the same recursive identifying restriction it is for a linear VAR, applied with this regime’s own Cholesky factor.

Parameters:

• horizon (int) – Largest lead to return.

• regime (Literal['lower', 'upper']) – Which regime’s dynamics to propagate.

• orthogonalized (bool) – Rotate by the regime’s Cholesky factor; the ordering of names is then an identifying assumption.

• cumulative (bool) – Return running sums.

Return type:

NDArray[double]

Returns:

An array of shape (horizon + 1, k, k); entry [h, i, j] is the response of variable i at lead h to shock j.