Description Usage Arguments Author(s)

View source: R/spilloversRolling.R

This function computes the rolling spillover using the standard VAR estimate. We implement the parallel version for faster processing. The window is of fixed window and is rolled over the data. Interpretation of the other parameters is the same as in the standard computation of spillover.

1 2 | ```
spilloverRollingBK12(data, n.ahead = 100, no.corr, partition, func_est,
params_est, window, cluster = NULL)
``` |

`data` |
variable containing the dataset |

`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 |

`partition` |
defines the frequency partitions to which the spillover should be decomposed |

`func_est` |
a name of the function to estimate with, for example "var" for VAR from vars package |

`params_est` |
a list of the parameters to pass to the function besides the data that are passed as a first element. |

`window` |
length of the window to be rolled |

`cluster` |
either NULL for no parallel processing or the variable containing the cluster. |

Tomas Krehlik <[email protected]m>

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