Forecast error variance decomposition
fevd(obj, h = 12, id_obj = NULL, type = "general", normalize = TRUE, ...) # S3 method for bvar fevd(obj, h = 12, id_obj = NULL, type = "general", normalize = TRUE, ...) # S3 method for tvar fevd(obj, h = 12, id_obj = NULL, type = "general", normalize = TRUE, ...) # S3 method for msvar fevd(obj, h = 12, id_obj = NULL, type = "general", normalize = TRUE, ...)
obj | S3 object generated by bvar, tvar or msvar |
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h | forecast horizon |
id_obj | S3 object containing information about identifying the VAR model |
type | Type of forecast error variance decomposition. If type = "general" the generalized forecast error variance decomposition is used. For any other values the standard method. While the generalized fevd doesn't use an indefication method to identify structural shocks in the VAR model, this is not true for the standard method. Hence for the generalized fevd there is no need to supply the function via id_obj. If id_obj is not null, there will be a warning message but will still proceed. |
normalize | whether the fevd should be normalized or not |
... | currently not used |