Hi!
I'm currently working on Factor Augmented VARs, using the replication file of BBE paper.
I am wondering how the forecast error variance decomposition in a Factor Augmented VAR can be calculated for each of the informational series of interest.
Thanks!
Variance decomposition in Factor Augmented VARs
Moderators: EViews Gareth, EViews Jason, EViews Moderator, EViews Matt
Re: Variance decomposition in Factor Augmented VARs
I will try to include the variance decomposition soon. But you have to ask the questions on the add-in section.
Re: Variance decomposition in Factor Augmented VARs
The favar add-in is updated. Now you can do the variance decomposition.
Who is online
Users browsing this forum: No registered users and 39 guests