statsmodels.tsa.vector_ar.var_model.FEVD

class statsmodels.tsa.vector_ar.var_model.FEVD(model, P=None, periods=None)

Compute and plot Forecast error variance decomposition and asymptotic standard errors

Parameters:

modelVARResults

The VAR results used to compute the FEVD.

Pndarray, optional

Matrix such that Sigma_u = PP’, used to orthogonalize the impulse responses. Defaults to the Cholesky decomposition of Sigma_u.

periodsint, optional

Number of periods to compute the FEVD for.

Methods

cov()	Compute asymptotic standard errors
plot([periods, figsize])	Plot graphical display of FEVD

summary

Methods

cov()	Compute asymptotic standard errors
plot([periods, figsize])	Plot graphical display of FEVD
summary()