FEVD estimation question

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ldevries
Posts: 2
Joined: Fri Oct 10, 2014 6:07 am

FEVD estimation question

Postby ldevries » Fri Oct 10, 2014 6:11 am

I was wondering what kind of shock values eViews uses for the estimations of FEVDs (in the standard option)? For the IRFs it are the 1 SD shocks. Is this the same for the FEVDs? When I check Hamilton (1994) I think it should be 1SD shocks also for the FEVDs. But unfortunately I cannot find this anywhere in eViews. Thank you in advance!

EViews Chris
EViews Developer
Posts: 161
Joined: Wed Sep 17, 2008 10:39 am

Re: FEVD estimation question

Postby EViews Chris » Fri Oct 10, 2014 1:08 pm

I'm not sure I understand exactly what you are asking. The variance decomposition numbers are expressed as percentages of the total forecast error variance within the period. I'm not sure what you are refering to by 'shock values' in this context.

What different possibilities did you have in mind for what we might be calculating?

ldevries
Posts: 2
Joined: Fri Oct 10, 2014 6:07 am

Re: FEVD estimation question

Postby ldevries » Mon Oct 13, 2014 1:06 am

Well, for IRFs 1 SD shocks are used to calculate the effects of one variables on other(s). However, theoretically, you could use 1 SD or 1 unit shocks for the calculation of the FEVDs. My question is then, how are the percentages of the FEVDs exactly calculated/estimated? I hope that my question is now a bit more clear.


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