fevd.nlVar: Forecast Error Variance Decomposition

In tsDyn: Nonlinear Time Series Models with Regime Switching

Forecast Error Variance Decomposition

Description

Use the fevd function from package vars to compute the forecast error variance decomposition of a VAR(p) or VECM for n.ahead steps.

Usage

## S3 method for class 'nlVar'
fevd(x, n.ahead = 10, ...)

Arguments

x	Object of class ‘VAR’ generated by lineVar(), or an object of class ‘VECM’ generated by VECM()
n.ahead	Integer specifying the number of steps.
...	Currently not used.

Details

The function converts the VAR or VECM computed by package tsDyn into an object of class ‘vec2var’, on which then the fevd method is applied. For details, see package vars.

Value

A list with class attribute ‘varfevd’ of length K holding the forecast error variances as matrices.

Author(s)

Bernhard Pfaff

References

Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton.

Lutkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.

See Also

plot for the plot method. lineVar, VECM for the models.

Examples

data(zeroyld)
mod_vecm <- VECM(zeroyld, lag = 2)
fevd(mod_vecm, n.ahead = 5)

tsDyn documentation built on Oct. 31, 2024, 5:08 p.m.