fevd_orthogonal {panelvar} | R Documentation |
Forcast Error Variance Decomposition for PVAR
Description
Computes the forecast error variance decomposition of a PVAR(p) model.
Usage
fevd_orthogonal(model, n.ahead = 10)
## S3 method for class 'pvargmm'
fevd_orthogonal(model, n.ahead = 10)
## S3 method for class 'pvarfeols'
fevd_orthogonal(model, n.ahead = 10)
Arguments
model |
A PVAR model |
n.ahead |
Number of steps |
Details
The estimation is based on orthogonalised impulse response functions.
Value
A list with forecast error variances as matrices for each variable.
Note
A plot
method will be provided in future versions.
References
Pfaff, B. (2008) VAR, SVAR and SVEC Models: Implementation Within R Package vars, Journal of Statistical Software 27(4) https://www.jstatsoft.org/v27/i04/
See Also
pvargmm
for model estimaion
oirf
for orthogonal impulse response function
Examples
data("ex1_dahlberg_data")
fevd_orthogonal(ex1_dahlberg_data, n.ahead = 8)
[Package panelvar version 0.5.5 Index]