Estimate forecast error variance decomposition

Estimate the forecast error variance decomposition for VARs with either short or 'IV-short' structural errors. See VAR and RVAR documentation for details regarding structural errors.

FEVD(model, horizon = 10, scale = TRUE)

Arguments

model	VAR or RVAR class object
horizon	int: number of periods
scale	boolean: scale variable contribution as percent of total error

Value

long-form data.frame

See also

VAR()

var_fevd()

RVAR()

rvar_fevd()

Examples

# \donttest{

 # simple time series
 AA = c(1:100) + rnorm(100)
 BB = c(1:100) + rnorm(100)
 CC = AA + BB + rnorm(100)
 date = seq.Date(from = as.Date('2000-01-01'), by = 'month', length.out = 100)
 Data = data.frame(date = date, AA, BB, CC)

 # estimate VAR
  var =
    sovereign::VAR(
      data = Data,
      horizon = 10,
      freq = 'month',
      lag.ic = 'BIC',
      lag.max = 4)
#> Warning: NAs introduced by coercion
#> Warning: NAs introduced by coercion
#> Warning: NAs introduced by coercion
#> Warning: NAs introduced by coercion

# impulse response functions
var.irf = sovereign::IRF(var)
#> 
#> Attaching package: ‘purrr’
#> The following object is masked from ‘package:testthat’:
#> 
#>     is_null

# forecast error variance decomposition
var.fevd = sovereign::FEVD(var)

# historical shock decomposition
var.hd = sovereign::HD(var)

# }