fevd: Forecast error variance decomposition for SVAR Models

In alexanderlange53/svars: Data-Driven Identification of SVAR Models

Forecast error variance decomposition for SVAR Models

Description

Calculation of forecast error variance decomposition for an identified SVAR object 'svars' derived by function id.st( ), id.cvm( ),id.cv( ),id.dc( ) or id.ngml( ).

Usage

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

Arguments

x	SVAR object of class "svars".
n.ahead	Integer specifying the steps.
...	Currently not used.

Value

A list with class attribute "svarfevd" holding the forecast error variance decompositions as data frames.

References

Kilian, L., Luetkepohl, H., 2017. Structural Vector Autoregressive Analysis, Cambridge University Press.

See Also

id.cvm, id.garch, id.dc, id.ngml, id.cv or id.st

Examples

v1 <- vars::VAR(USA, lag.max = 10, ic = "AIC" )
x1 <- id.dc(v1)
x2 <- fevd(x1, n.ahead = 30)
plot(x2)

alexanderlange53/svars documentation built on Jan. 31, 2023, 7:50 a.m.