tsDyn (version 0.9-1)

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.

Value

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

encoding

latin1

concept

• VAR
• Vector autoregressive model
• fevd
• forecast error variance decomposition
• VECM

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.

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

See Also

plot for the plot method. lineVar, VECM for the models.

Examples

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