MarkovSwitchingSVARResult.shock_names

property MarkovSwitchingSVARResult.shock_names: tuple[str, ...]

Labels of the identified shocks, common across regimes.

Read from the first regime’s result when its scheme names its shocks; shock1 ... shockk otherwise.

Example

Under the recursive scheme the shocks carry the ordering’s names:

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> s = np.repeat([0, 1, 0, 1], 100)
>>> y = np.array([[-1.0, -0.5], [1.5, 1.0]])[s] + 0.4 * rng.standard_normal((400, 2))
>>> res = MarkovSwitchingVAR(y, order=1, n_regimes=2, names=("a", "b")).fit(seed=0)
>>> MarkovSwitchingSVAR(res, order=("b", "a")).identify().shock_names
('b', 'a')