GFEVD: Compute GFEVD of linear VAR by Pesaran and Shin (1998)

In common2016/MyFun: What the Package Does (One Line, Title Case)

Compute GFEVD of linear VAR by Pesaran and Shin (1998)

Description

Compute GFEVD of linear VAR by Pesaran and Shin (1998)

Usage

GFEVD(ma, sig_u, imp_var, res_var, cholesky = FALSE)

Arguments

ma	a list, it's MA coeffients from ar2ma
sig_u	a cov matrix from VAR models. Note the order of variables in sig_u is same with one of ma[[i]].
imp_var	a numerical scalor which specifies the impulse variable.
res_var	a numerical scalor which specifies the imponse variable.
cholesky	logical value. Decomposition of prediction error variance obtained using Cholesky decomposition or not?

Value

a vector whose length are horizons.

Examples

# see ar2ma function

common2016/MyFun documentation built on Sept. 23, 2024, 3:49 p.m.