svars (version 1.3.11)

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 svars
fevd(x, n.ahead = 10, ...)

Value

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

Arguments

x

SVAR object of class "svars".

n.ahead

Integer specifying the steps.

...

Currently not used.

References

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

See Also

id.cvm, id.garch, id.dc, id.ngml, id.cv or id.st

Examples

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