fevd_orthogonal: Forcast Error Variance Decomposition for PVAR

In panelvar: Panel Vector Autoregression

Forcast Error Variance Decomposition for PVAR

Description

Computes the forecast error variance decomposition of a PVAR(p) model.

Usage

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)

Arguments

model	A PVAR model
n.ahead	Number of steps

Details

The estimation is based on orthogonalised impulse response functions.

Value

A list with forecast error variances as matrices for each variable.

Note

A plot method will be provided in future versions.

References

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/

See Also

pvargmm for model estimaion

oirf for orthogonal impulse response function

Examples

data("ex1_dahlberg_data")
fevd_orthogonal(ex1_dahlberg_data, n.ahead = 8)

panelvar documentation built on Jan. 6, 2023, 1:17 a.m.