Same quantity as Fevdc: with P the lower Cholesky factor of
Sigma_u and Theta_s the MA coefficient matrices of the fitted VAR, the
share of the h-step forecast error variance of variable i due to
orthogonalised shock j is the ratio of sum_s (Theta_s P)[i, j]^2 to its
row total. Fevdc implements it; this is a re-export.
Usage
Vardec(var_coefficients, sigma_u, periods = 20)
Arguments
- var_coefficients
VAR(1) coefficient matrix A (k by k).
- sigma_u
Residual covariance matrix (k by k).
- periods
Forecast horizon.
References
Lutkepohl, H. (2005). New Introduction to Multiple Time
Series Analysis. Springer. doi:10.1007/978-3-540-27752-1.
Examples
Vardec(matrix(c(0.5, 0.1, 0.2, 0.4), 2, 2), diag(2), 3)$periods
#> [1] 3
