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!
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- Wed Mar 22, 2017 3:10 am
- Forum: Programming
- Topic: Variance decomposition in Factor Augmented VARs
- Replies: 2
- Views: 3137