fevd: Forecast error variance decomposition

In joergrieger/bvar: Estimation and forecasting of bayesian VAR models

Description

Forecast error variance decomposition

Usage

fevd(obj, h = 12, id_obj = NULL, type = "general",
  normalize = TRUE, ...)

## S3 method for class 'bvar'
fevd(obj, h = 12, id_obj = NULL, type = "general",
  normalize = TRUE, ...)

## S3 method for class 'tvar'
fevd(obj, h = 12, id_obj = NULL, type = "general",
  normalize = TRUE, ...)

## S3 method for class 'msvar'
fevd(obj, h = 12, id_obj = NULL, type = "general",
  normalize = TRUE, ...)

Arguments

obj	S3 object generated by bvar, tvar or msvar
h	forecast horizon
id_obj	S3 object containing information about identifying the VAR model
type	Type of forecast error variance decomposition. If type = "general" the generalized forecast error variance decomposition is used. For any other values the standard method. While the generalized fevd doesn't use an indefication method to identify structural shocks in the VAR model, this is not true for the standard method. Hence for the generalized fevd there is no need to supply the function via id_obj. If id_obj is not null, there will be a warning message but will still proceed.
normalize	whether the fevd should be normalized or not
...	currently not used

joergrieger/bvar documentation built on July 3, 2020, 5:34 p.m.