| spillover {frequencyConnectedness} | R Documentation |
Computing spillover from a fevd
Description
This function is an internal implementation of the spillover. The spillover is in general defined as the contribution of the other variables to the fevd of the self variable. This function computes the spillover as the contribution of the diagonal elements of the fevd to the total sum of the matrix. The other functions are just wrappers around this function. In general, other spillovers could be implemented using this function.
Usage
spillover(func, est, n.ahead, no.corr = F)
Arguments
func |
name of the function that returns FEVD for the estimtate est |
est |
the estimate of a system, typically VAR estimate in our case |
n.ahead |
how many periods ahead should the FEVD be computed, generally this number should be high enough so that it won't change with additional period |
no.corr |
boolean parameter whether the off-diagonal in the covariance matrix should be set to zero |
Value
spillover_table object
Author(s)
Tomas Krehlik <tomas.krehlik@gmail.com>