genFEVD: Compute a forecast error vector decomposition in generalised VAR scheme.
Description
This function computes the standard forecast error vector decomposition given the
estimate of the VAR.
Usage
genFEVD(est, n.ahead = 100, no.corr = F)
Arguments
est
the VAR estimate from the vars package
n.ahead
how many periods ahead should be taken into account
no.corr
boolean if the off-diagonal elements should be set to 0.
Value
a matrix that corresponds to contribution of ith variable to jth variance of forecast