Hi, everyone.
After estimating a VAR, Gretl offers a forecast variance decomposition under
the "analysis" menu. The dialogue box requires the user to select at least
two periods for the forecast variance decomposition, which makes me wonder
why two periods are required ... if I select two periods, is the first one
the last "in sample" period and the second one the first (and only) forecast
period? Or, if not, what do the two periods represent?
Thanks,
Tim Cox