gfevd {BGVAR} | R Documentation |
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.
gfevd(x, n.ahead=24, running=TRUE, applyfun=NULL, cores=NULL, verbose=TRUE)
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 |
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.
Maximilian Boeck, Martin Feldkircher
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.