Forcast Error Variance Decomposition for PVAR
Computes the forecast error variance decomposition of a PVAR(p) model.
fevd_orthogonal(model, n.ahead = 10) ## S3 method for class 'pvargmm' fevd_orthogonal(model, n.ahead = 10) ## S3 method for class 'pvarfeols' fevd_orthogonal(model, n.ahead = 10)
model |
A PVAR model |
n.ahead |
Number of steps |
The estimation is based on orthogonalised impulse response functions.
A list with forecast error variances as matrices for each variable.
A plot method will be provided in future versions.
Pfaff, B. (2008) VAR, SVAR and SVEC Models: Implementation Within R Package vars, Journal of Statistical Software 27(4) https://www.jstatsoft.org/v27/i04/
pvargmm for model estimaion
oirf for orthogonal impulse response function
data("ex1_dahlberg_data")
fevd_orthogonal(ex1_dahlberg_data, n.ahead = 8)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.