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- Mon Nov 16, 2015 7:26 am
- Forum: Estimation
- Topic: Rolling Impulse Response Functions and FEVD Calculation
- Replies: 1
- Views: 2867
Rolling Impulse Response Functions and FEVD Calculation
Hi, For my study, I need to calculate the forecast error variance decompositions of my variables which I estimate through rolling VAR. Inspired by one of the former posts, I think I managed to get the impulse response functions out of rolling VAR. However, I need the forecast error variance decompos...