| fevd {frequencyConnectedness} | R Documentation |
Compute a forecast error vector decomposition in recursive identification scheme
Description
This function computes the standard forecast error vector decomposition given the estimate of the VAR.
Usage
fevd(est, n.ahead = 100, no.corr = F)
Arguments
est |
the VAR estimate from the vars package |
n.ahead |
how many periods ahead should be taken into account |
no.corr |
boolean if the off-diagonal elements should be set to 0. |
Value
a matrix that corresponds to contribution of ith variable to jth variance of forecast
Author(s)
Tomas Krehlik tomas.krehlik@gmail.com
[Package frequencyConnectedness version 0.2.4 Index]