FactorAugmentedSVARResult.impact

property FactorAugmentedSVARResult.impact: NDArray[float64]

Impact responses of every panel series, (n_series, s).

Example

>>> import numpy as np
>>> from cultivars.multivariate.large_dim.factor_augmented import FAVAR
>>> rng = np.random.default_rng(0)
>>> panel, policy = rng.standard_normal((120, 5)), rng.standard_normal((120, 1))
>>> res = FAVAR(panel, policy, n_factors=1, order=1).fit()
>>> svar = FactorAugmentedSVAR(res).identify()
>>> svar.impact.shape, bool(np.allclose(svar.impact, svar.irf(0)[0]))
((5, 2), True)