gfevd {BGVAR} | R Documentation |

## Generalized Forecast Error Variance Decomposition

### Description

This function calculates a complete generalized forecast error variance decomposition (GFEVDs) based on generalized impulse response functions akin to Lanne-Nyberg (2016). The Lanne-Nyberg (2016) corrected GFEVD sum up to unity.

### Usage

```
gfevd(x, n.ahead=24, running=TRUE, applyfun=NULL, cores=NULL, verbose=TRUE)
```

### Arguments

`x` |
an object of class |

`n.ahead` |
the forecast horizon. |

`running` |
Default is set to |

`applyfun` |
Allows for user-specific apply function, which has to have the same interface than |

`cores` |
Specifies the number of cores which should be used. Default is set to |

`verbose` |
If set to |

### Value

Returns a list with two elements

`GFEVD`

a three or four-dimensional array, with the first dimension referring to the K time series that are decomposed into contributions of K time series (second dimension) for

`n.ahead`

forecast horizons. In case`running=TRUE`

only the posterior mean else also its 16% and 84% credible intervals is contained in the fourth dimension.`xglobal`

used data of the model.

### Author(s)

Maximilian Boeck, Martin Feldkircher

### References

Lanne, M. and H. Nyberg (2016) *Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models.* Oxford Bulletin of Economics and Statistics, Vol. 78(4), pp. 595-603.

### See Also

### Examples

```
```

*BGVAR*version 2.5.7 Index]