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 nlVar
fevd(x, n.ahead = 10, ...)
Value
A list with class attribute ‘varfevd’ of length
K holding the forecast error variances as matrices.
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.
Author
Bernhard Pfaff
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.
Lutkepohl, H. (2006), New Introduction to Multiple Time Series
Analysis, Springer, New York.
See Also
plot for the plot method. lineVar,
VECM for the models.