tsDyn: fevd – R documentation

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fevd

Forecast Error Variance Decomposition

Description

Use the fevd function from package vars to compute the forecast error variance decomposition of a VAR(p) or VECM for n.ahead steps.

Usage

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

Arguments

`x`	Object of class ‘`VAR`’ generated by `lineVar()`, or an object of class ‘`VECM`’ generated by `VECM()`

`n.ahead`	Integer specifying the number of steps.
`...`	Currently not used.

Details

The function converts the VAR or VECM computed by package tsDyn into an object of class ‘vec2var’, on which then the fevd method is applied. For details, see package vars.

Value

A list with class attribute ‘varfevd’ of length K holding the forecast error variances as matrices.

Author(s)

Bernhard Pfaff

References

Hamilton, J. (1994), Time Series Analysis, Princeton University Press, Princeton.

LÃ¼tkepohl, H. (2006), New Introduction to Multiple Time Series Analysis, Springer, New York.

Examples

data(zeroyld)
mod_vecm <- VECM(zeroyld, lag = 2)
fevd(mod_vecm, n.ahead = 5)

tsDyn

Nonlinear Time Series Models with Regime Switching

v10-1.2

GPL (>= 2)

Authors

Antonio Fabio Di Narzo [aut], Jose Luis Aznarte [ctb], Matthieu Stigler [aut], Ho Tsung-wu [cre]

Initial release

2020-02-04