CODEWITHSUNDEEP
pythonvarstatsmodels
D.M.S.S.Kumari
D.M.S.S.Kumari

Reputation: 33

How to generate the actual results of an IRF() function in python?

I am unable to generate the actual underlying values of the IRFs. See code of a simple VAR model.

import numpy as np
import statsmodels.tsa as sm
model = VAR(df_differenced.astype(float))
results = model.fit()
irf = results.irf(10)

I can generate the resulting IRF plots just fine with this code:

irf.plot(orth=False)

But, I can't generate the underlying values. I'd like to do so to have precise figures. Visually interpreting IRFs is not that accurate. Using the summary() did not provide me this information.

I would really appreciate some help. Thanks in advance.

Upvotes: 3

Views: 2605

Answers (2)

doncharles005
doncharles005

Reputation: 53

You are close to the actual answer. You can type

results.irf(10)

or try

results.impulse_responses(10)

It will give you a table with the actual point estimates from the VAR

Upvotes: 2

Kevin S
Kevin S

Reputation: 2803

You need to use the irfs property or cum_effects (cumulative irf). results.irf returns an IRAnalysis object. The documentation is below the standard where it should be.

import numpy as np
import statsmodels.tsa as sm
import pandas as pd

df = pd.DataFrame(np.random.standard_normal((300,3)))
model = VAR(df)
results = model.fit()
irf = results.irf(10)
print(irf.irfs)
print(irf.cum_effects)

Upvotes: 3

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