Variance decomposition in Factor Augmented VARs

[pegymak]

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!

[dakila]

I will try to include the variance decomposition soon. But you have to ask the questions on the add-in section.

[dakila]

The favar add-in is updated. Now you can do the variance decomposition.