SVARResult.historical_decomposition

SVARResult.historical_decomposition()

Each identified shock’s cumulative contribution to each variable.

Return type:

NDArray[double]

Returns:

An array of shape (nobs, k, s); entry [t, i, j] is shock j’s contribution to variable i at time t. Summing over identified shocks recovers the full stochastic path only under complete identification; the remainder belongs to the shocks the scheme leaves unnamed.

Note

Costs O(nobs^2) moving-average terms, like its reduced-form counterpart.