FactorAugmentedSVARResult.shock_names

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

Labels of the identified shocks, from the factor-space result.

shock1 ... shocks when the supplied identification does not name its shocks.

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=2, order=1, observed_names=("r",)).fit()
>>> FactorAugmentedSVAR(res).identify().shock_names
('f1', 'f2', 'r')