spilloverDY12: Computing spillover from a generalized fevd according to...

Description Usage Arguments Value Author(s)

View source: R/spillovers.R

Description

This function is an internal implementation of the spillover. The spillover is in general defined as the contribution of the other variables to the fevd of the self variable. This function computes the spillover as the contribution of the diagonal elements of the fevd to the total sum of the matrix. The other functions are just wrappers around this function. In general, other spillovers could be implemented using this function.

Usage

1
spilloverDY12(est, n.ahead = 100, no.corr)

Arguments

est

the estimate of a system, typically VAR estimate in our case

n.ahead

how many periods ahead should the FEVD be computed, generally this number should be high enough so that it won't change with additional period

no.corr

boolean parameter whether the off-diagonal in the covariance matrix should be set to zero

Value

spillover_table object

Author(s)

Tomas Krehlik <[email protected]>


frequencyConnectedness documentation built on Jan. 4, 2018, 1:51 a.m.