fftFEVD {frequencyConnectedness}

Compute a FFT transform of forecast error vector decomposition in recursive identification scheme

Description

This function computes the decomposition of standard forecast error vector decomposition given the estimate of the VAR. The decomposition is done according to the Stiassny (1996)

Usage

fftFEVD(est, n.ahead = 100, no.corr = F, range)

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.

range

defines the frequency partitions to which the spillover should be decomposed

Value

a list of matrices that corresponds to contribution of ith variable to jth variance of forecast

Author(s)

Tomas Krehlik [e-mail]