fevd: Compute a forecast error vector decomposition in recursive...
In frequencyConnectedness: Spectral Decomposition of Connectedness Measures
fevd R Documentation
Compute a forecast error vector decomposition in recursive identification scheme
Description
This function computes the standard forecast error vector decomposition given the
estimate of the VAR.
Usage
fevd(est, n.ahead = 100, no.corr = F)
Arguments
est
the VAR estimate from the vars package
n.ahead
how many periods ahead should be taken into account
no.corr
boolean if the off-diagonal elements should be set to 0.
Value
a matrix that corresponds to contribution of ith variable to jth variance of forecast
Author(s)
Tomas Krehlik tomas.krehlik@gmail.com
frequencyConnectedness documentation built on March 7, 2023, 6:39 p.m.
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| fevd | R Documentation |
Compute a forecast error vector decomposition in recursive identification scheme
Description
This function computes the standard forecast error vector decomposition given the estimate of the VAR.
Usage
fevd(est, n.ahead = 100, no.corr = F)
Arguments
est |
the VAR estimate from the vars package |
n.ahead |
how many periods ahead should be taken into account |
no.corr |
boolean if the off-diagonal elements should be set to 0. |
Value
a matrix that corresponds to contribution of ith variable to jth variance of forecast
Author(s)
Tomas Krehlik tomas.krehlik@gmail.com
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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