Computes the forecast error variance decomposition of a VAR(p) for
n.ahead steps.
Usage
## S3 method for class 'varest'
fevd(x, n.ahead=10, ...)
## S3 method for class 'svarest'
fevd(x, n.ahead=10, ...)
## S3 method for class 'svecest'
fevd(x, n.ahead=10, ...)
## S3 method for class 'vec2var'
fevd(x, n.ahead=10, ...)
Arguments
x
Object of class ‘varest’; generated by
VAR(), or an object of class ‘svarest’;
generated by SVAR(), or an object of class
‘vec2var’; generated by vec2var(), or an
object of class ‘svecest’; generated by SVEC().
n.ahead
Integer specifying the steps.
...
Currently not used.
Details
The forecast error variance decomposition is based upon the
orthogonalised impulse response coefficient matrices Ψ_h and
allow the user to analyse the contribution of variable j to the
h-step forecast error variance of variable k. If the
orthogonalised impulse reponses are divided by the variance of the
forecast error σ_k^2(h), the resultant is a percentage
figure. Formally: