svars: fevd – R documentation

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fevd

Forecast error variance decomposition for SVAR Models

Description

Calculation of forecast error variance decomposition for an identified SVAR object 'svars' derived by function id.st( ), id.cvm( ),id.cv( ),id.dc( ) or id.ngml( ).

Usage

## S3 method for class 'svars'
fevd(x, n.ahead = 10, ...)

Arguments

`x`	SVAR object of class "svars".
`n.ahead`	Integer specifying the steps.
`...`	Currently not used.

Value

A list with class attribute "svarfevd" holding the forecast error variance decompositions as data frames.

References

Kilian, L., Luetkepohl, H., 2017. Structural Vector Autoregressive Analysis, Cambridge University Press.

Examples

v1 <- vars::VAR(USA, lag.max = 10, ic = "AIC" )
x1 <- id.dc(v1)
x2 <- fevd(x1, n.ahead = 30)
plot(x2)

svars

Data-Driven Identification of SVAR Models

v1.3.7

MIT + file LICENSE

Authors

Alexander Lange [aut, cre], Bernhard Dalheimer [aut], Helmut Herwartz [aut], Simone Maxand [aut], Hannes Riebl [ctb]

Initial release

2021-03-17