fevd_orthogonal

fevd_orthogonal.pvargmm

fevd_orthogonal.pvarfeols

Computes the forecast error variance decomposition of a PVAR(p) model.

We extend two general methods of moment estimators to panel vector
autoregression models (PVAR) with p lags of endogenous variables, predetermined
and strictly exogenous variables. This general PVAR model contains the first
difference GMM estimator by Holtz-Eakin et al. (1988) <doi:10.2307/1913103>,
Arellano and Bond (1991) <doi:10.2307/2297968> and the system GMM estimator
by Blundell and Bond (1998) <doi:10.1016/S0304-4076(98)00009-8>. We also
provide specification tests (Hansen overidentification test, lag selection
criterion and stability test of the PVAR polynomial) and classical structural
analysis for PVAR models such as orthogonal and generalized impulse response
functions, bootstrapped confidence intervals for impulse response analysis and
forecast error variance decompositions.

Robert Ferstl

panelvar

Panel Vector Autoregression

Michael Sigmund

fevd_orthogonal function

<dl><dt>model</dt>
<dd>A PVAR model</dd>
<dt>n.ahead</dt>
<dd>Number of steps</dd></dl>

Arguments

Forcast Error Variance Decomposition for PVAR — fevd_orthogonal

<dl>

<dt>model</dt>
<dd>A PVAR model</dd>


<dt>n.ahead</dt>
<dd>Number of steps</dd>

</dl>

fevd_orthogonal: Forcast Error Variance Decomposition for PVAR

Description

Usage

Value

Arguments

Details

References

See Also

Examples