dfev {MSBVAR} | R Documentation |
Computes the m dimensional decomposition of forecast error variance (DFEV) for a VAR/BVAR/BSVAR model. User can specify the decomposition of the contemporaneous innovations.
dfev(varobj, A0 = NULL, k) dfev.VAR(varobj, A0 = t(chol(varobj$mean.S)), k) dfev.BVAR(varobj, A0 = t(chol(varobj$mean.S)), k) dfev.BSVAR(varobj, A0 = solve(varobj$A0.mode), k)
varobj |
VAR/BVAR/BSVAR object created from fitting a
VAR/BVAR/BSVAR model using szbvar , szbsvar , or
reduced.form.var . |
A0 |
Decomposition of the contemporaneous error covariance matrix. Default is to use the (lower) Cholesky decomposition of the residual error covariance matrix for VAR and BVAR models, or the inverse of A(0) in B-SVAR models. |
k |
Number of periods over which to compute the deccomposition. |
The decomposition of the forecast error variance (DFEV) provides a
measure of the relationship among forecast errors or impact of shocks
to a VAR/BVAR/BSVAR system. It is computed by finding the moving average
representation (MAR) of the VAR/BVAR/BSVAR model and then tracing out the path of
innovations through the system. For each of the M innovations in a
VAR/BVAR/BSVAR, the amount of the variance in these forecast errors or
innovations is computed and returned in a table. The table can be
accessed via the print.dfev
and summary.dfev
functions.
Returns a list with
errors |
M x M x K of the percentage of the innovations in variable i explained by the other M variables. |
std.err |
M x k dimension matrix of the forecast standard errors. |
names |
Variable names |
The interpretation of the DFEV depends on the decomposition of the contemporaneous residuals. In the default case of a Cholesky decomposition, this means that the ordering of the variables in the decomposition determines the effect of each innovation on the subsequent DFEVs. For high correlated series, this will mean that the DFEV is not very robust to the ordering.
Patrick T. Brandt
Brandt, Patrick T. and John T. Williams. Multiple Time Series Models. Thousand Oaks, CA; Sage Press.
See also print.dfev
and
summary.dfev
for a nicely formatted tables
and an output example
data(IsraelPalestineConflict) varnames <- colnames(IsraelPalestineConflict) fitted.BVAR <- szbvar(IsraelPalestineConflict, p=6, z=NULL, lambda0=0.6, lambda1=0.1, lambda3=2, lambda4=0.25, lambda5=0, mu5=0, mu6=0, nu=3, qm=4, prior=0, posterior.fit=FALSE) A0 <- t(chol(fitted.BVAR$mean.S)) dat.dfev <- dfev(fitted.BVAR, A0, 24) print(dat.dfev) summary(dat.dfev)