Description Usage Arguments Value Author(s)

This function is an internal implementation of the frequency spillover. We apply the identification scheme suggested by fevd to the frequency decomposition of the transfer functions from the estimate est.

1 | ```
spilloverFft(func, est, n.ahead, partition, no.corr = F)
``` |

`func` |
name of the function that returns FEVD for the estimtate est |

`est` |
the estimate of a system, typically VAR estimate in our case |

`n.ahead` |
how many periods ahead should the FEVD be computed, generally this number should be high enough so that it won't change with additional period |

`partition` |
defines the frequency partitions to which the spillover should be decomposed |

`no.corr` |
boolean parameter whether the off-diagonal in the covariance matrix should be set to zero |

spillover_table object

Tomas Krehlik <[email protected]>

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

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