fftFEVD | R Documentation |
This function computes the decomposition of standard forecast error vector decomposition given the estimate of the VAR. The decomposition is done according to the Stiassny (1996)
fftFEVD(est, n.ahead = 100, no.corr = F, range)
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. |
range |
defines the frequency partitions to which the spillover should be decomposed |
a list of matrices that corresponds to contribution of ith variable to jth variance of forecast
Tomas Krehlik tomas.krehlik@gmail.com
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