statsmodels.tsa.vector_ar.var_model.VARResults.fevd

VARResults.fevd(periods=10, var_decomp=None)

Compute forecast error variance decomposition (“fevd”)

Parameters:

periodsint, optional

Number of periods to compute the FEVD for.

var_decompndarray (k x k), lower triangular, optional

Must satisfy Omega = P P’, where P is the passed matrix. Defaults to Cholesky decomposition of Omega.

Returns:

fevdFEVD instance