FEVdec {MTS}

Forecast Error Variance Decomposition

Description

Computes the forecast error variance decomposition of a VARMA model

Usage

FEVdec(Phi, Theta, Sig, lag = 4)

Arguments

Phi

VAR coefficient matrices in the form Phi=[Phi1, Phi2, ..., Phip], a k-by-kp matrix.

Theta

VMA coefficient matrices in form form Theta=[Theta1, Theta2, ..., Thetaq], a k-by-kq matrix.

Sig

The residual covariance matrix Sigma, a k-by-k positive definite matrix.

lag

The number of lags of forecast errors variance to be computed. Default is 4.

Details

Use the psi-weight matrices to compute the forecast error covariance and use Cholesky decomposition to perform the decomposition

Value

irf

Impulse response matrices

orthirf

Orthogonal impulse response matrices

Omega

Forecast error variance matrices

OmegaR

Forecast error variance decomposition

Author(s)

Ruey S. Tsay

References

Tsay (2014, Chapter 3)

Examples

p1=matrix(c(0.2,-0.6,0.3,1.1),2,2)
theta1=matrix(c(-0.5,0,0,-0.6),2,2)
Sig=matrix(c(3,1,1,1),2,2)
m1=FEVdec(p1,theta1,Sig)
names(m1)