IRF Sims-Zha error band method 2.
This method Does not assume symmetric error bands around mean.
Parameters : | orth : bool, default False
repl : int, default 1000
signif : float (0 < signif < 1)
seed : int, default None
burn : int, default 100
component : neqs x neqs array, default to largest for each
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References
Sims, Christopher A., and Tao Zha. 1999. “Error Bands for Impulse Response”. Econometrica 67: 1113-1155.