Identify the main shock by targetting the forecast error variance contribution in the time domain.

Usage

id_fevdtd(x, target, horizon, sign = "positive", sign_horizon = 1)

# S3 method for class 'varest'
id_fevdtd(x, target, horizon, sign = "positive", sign_horizon = 1)

# S3 method for class 'varboot'
id_fevdtd(x, target, horizon, sign = "positive", sign_horizon = 1)

# S3 method for class 'bvartools'
id_fevdtd(x, target, horizon, sign = "positive", sign_horizon = 1)

# S3 method for class 'bvar'
id_fevdtd(x, target, horizon, sign = "positive", sign_horizon = 1)

Arguments

x: vars::VAR object
target: variable name or index to maximize its fevd
horizon: integer vector (can be length 1) of the horizon to maximize
sign: Default to "positive". Can be "negative". Ensures the cummulative impact of the main shock on the target variable is the given sign.
sign_horizon: Default to 1. The horizon through which to accumulate the impact of the shock.

Value

structural var

Examples

x <- svars::USA
v <- vars::VAR(x, p = 2)
mvar <- id_fevdtd(v, "pi", 4:10)