fevd: Compute a forecast error vector decomposition in recursive...

Description Usage Arguments Value Author(s)

View source: R/fevd.R

Description

This function computes the standard forecast error vector decomposition given the estimate of the VAR.

Usage

1
fevd(est, n.ahead = 100, no.corr = F)

Arguments

est

the VAR estimate from the vars package

n.ahead

how many periods ahead should be taken into account

no.corr

boolean if the off-diagonal elements should be set to 0.

Value

a matrix that corresponds to contribution of ith variable to jth variance of forecast

Author(s)

Tomas Krehlik [email protected]


tomaskrehlik/frequencyConnectedness documentation built on Sept. 26, 2018, 11:30 p.m.