I am using statsmodels version '0.11.1'. I am trying to sum cumulative effects of using the impulse response function derived of a VECM, but I am getting an AttributeError regarding 'lr_effects'. As far as I am aware you should be able to retrieve the cumulative effects from an impulse response function derived from a VECM also right? Or am I missing something? My code:
from statsmodels.tsa.vector_ar.vecm import VECM mod = VECM(endog=model_merged.rename(columns=rename_dict)[for_model], k_ar_diff=3, coint_rank=1, deterministic='cili' ).fit() mod.summary()` plt.rcParams['figure.figsize'] = (20, 40) num_periods = 10 ir = mod.irf(periods=num_periods) ir.plot_cum_effects()
The error I receive is: AttributeError: 'IRAnalysis' object has no attribute 'lr_effects'
Plotting the regular impulse reponse function using ir.plot() does work. Thanks in advance.