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 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.
Value
A list with class attribute ‘varfevd’ of length K
holding the forecast error variances as matrices.
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.
References
Hamilton, J. (1994), Time Series Analysis, Princeton
University Press, Princeton.
L<U+00FC>tkepohl, H. (2006), New Introduction to Multiple Time Series
Analysis, Springer, New York.