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MCFEVDTABLE: RATS procedure to organize tables of FEVD's with confidence bands

Author

Listed:
  • Tom Doan

    () (Estima)

Abstract

Computes error bands for the forecast error variance decomposition for a VAR using using the information already computed. Note: this assumes that the shocks used are orthogonal and produce a complete factorization of the covariance matrix. It cannot be used with isolated shocks (from, for instance, sign restrictions).

Suggested Citation

  • Tom Doan, "undated". "MCFEVDTABLE: RATS procedure to organize tables of FEVD's with confidence bands," Statistical Software Components RTS00118, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rts00118
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/mcfevdtable.src
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    More about this item

    Keywords

    Error bands for FEVD;

    Statistics

    Access and download statistics

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