HD: Estimate historical decomposition

In tylerJPike/sovereign: State-Dependent Empirical Analysis

Estimate historical decomposition

Description

Estimate the historical decomposition for VARs with either 'short' or 'IV-short' structural errors. See VAR and RVAR documentation for details regarding structural errors.

Usage

HD(model)

Arguments

model

VAR or RVAR class object

Value

long-from data.frame

See Also

VAR()

var_hd()

RVAR()

rvar_hd()

Examples

 # simple time series
 AA = c(1:100) + rnorm(100)
 BB = c(1:100) + rnorm(100)
 CC = AA + BB + rnorm(100)
 date = seq.Date(from = as.Date('2000-01-01'), by = 'month', length.out = 100)
 Data = data.frame(date = date, AA, BB, CC)

 # estimate VAR
  var =
    sovereign::VAR(
      data = Data,
      horizon = 10,
      freq = 'month',
      lag.ic = 'BIC',
      lag.max = 4)

# impulse response functions
var.irf = sovereign::IRF(var)

# forecast error variance decomposition
var.fevd = sovereign::FEVD(var)

# historical shock decomposition
var.hd = sovereign::HD(var)

tylerJPike/sovereign documentation built on Nov. 15, 2022, 10:29 a.m.