fevd_orthogonal function

Forcast Error Variance Decomposition for PVAR

Computes the forecast error variance decomposition of a PVAR(p) model.

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

Returns

A list with forecast error variances as matrices for each variable.

Details

The estimation is based on orthogonalised impulse response functions.

Note

A plot method will be provided in future versions.

Examples

data("ex1_dahlberg_data")
fevd_orthogonal(ex1_dahlberg_data, n.ahead = 8)

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