BGVAR: gfevd – R documentation

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gfevd

Generalized Forecast Error Variance Decomposition

Description

This function calculates a complete generalized forecast error variance decomposition (GFEVDs) based on generalized impulse response functions akin to Lanne-Nyberg (2016). The Lanne-Nyberg (2016) corrected GFEVD sum up to unity.

Usage

gfevd(x, n.ahead=24, running=TRUE, applyfun=NULL, cores=NULL, verbose=TRUE)

Arguments

`x`	an object of class `bgvar`.
`n.ahead`	the forecast horizon.
`running`	Default is set to `TRUE` and implies that only a running mean over the posterior draws is calculated. A full analysis including posterior bounds is likely to cause memory issues.
`applyfun`	Allows for user-specific apply function, which has to have the same interface than `lapply`. If `cores=NULL` then `lapply` is used, if set to a numeric either `parallel::parLapply()` is used on Windows platforms and `parallel::mclapply()` on non-Windows platforms.
`cores`	Specifies the number of cores which should be used. Default is set to `NULL` and `applyfun` is used.
`verbose`	If set to `FALSE` it suppresses printing messages to the console.

Value

Returns a list with two elements

GFEVD a three or four-dimensional array, with the first dimension referring to the K time series that are decomposed into contributions of K time series (second dimension) for n.ahead forecast horizons. In case running=TRUE only the posterior mean else also its 16% and 84% credible intervals is contained in the fourth dimension.
xglobal used data of the model.

Author(s)

Maximilian Boeck, Martin Feldkircher

References

Lanne, M. and H. Nyberg (2016) Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models. Oxford Bulletin of Economics and Statistics, Vol. 78(4), pp. 595-603.

Examples

BGVAR

Bayesian Global Vector Autoregressions

v2.2.0

GPL-3

Authors

Maximilian Boeck [aut, cre] (<https://orcid.org/0000-0001-6024-8305>), Martin Feldkircher [aut] (<https://orcid.org/0000-0002-5511-9215>), Florian Huber [aut] (<https://orcid.org/0000-0002-2896-7921>)

Initial release