Compute Monte Carlo integrated error bands assuming normally distributed for impulse response functions
Parameters: | orth: bool, default False :
repl: int :
T: int, default 10 :
signif: float (0 < signif <1) :
seed: int :
burn: int :
cum: bool, default False :
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Returns: | Tuple of lower and upper arrays of ma_rep monte carlo standard errors : |
Notes
Lutkepohl (2005) Appendix D