6:23 a.m.
Thank you for your quick response.
If you could, at some point, when it's convenient for you, provide me with an example,
it would be extremely helpful since I'm not very familiar with coding.
Thank you in advance for your help. I wish you a good day.
Sincerely,
Giulia Chiara
On 31 Jul 2025, at 12:08 pm, Luca Pedini <luca_pedini(a)live.it>
wrote:
Dear Giulia,
If you are using the BVAR package, unfortunately the FEVD functionality is not available
yet. It will be included in a future update, but at the moment there is no function for
computing or plotting FEVD within the package.
As a temporary solution, you could use the BVAR package to save the parameter draws and
then compute the FEVD manually—or alternatively, compute it using the posterior medians.
Unfortunately, I’m away for a couple of days, but as soon as I’m back I’ll be happy to
provide you with an example of how to do this.
Best regards,
Luca Pedini
Da: GIULIA CHIARA <g.chiara1(a)studenti.unibg.it>
Data: mercoledì, 30 luglio 2025 alle ore 11:23
A: gretl-users-owner(a)gretlml.univpm.it <gretl-users-owner(a)gretlml.univpm.it>,
gretl-users(a)gretlml.univpm.it <gretl-users(a)gretlml.univpm.it>
Oggetto: [Gretl-users] Query about FEVDs for BVAR
Dear Gretl community,
Good morning,
I hope this email finds you well.
I'm currently working with a BVAR model in Gretl and I'm trying to obtain the
Forecast Error Variance Decompositions (FEVDs). I was wondering if it's possible to
generate these in Gretl, and if so, what the correct method or code string would be.
I've attempted to use BVAR_fevd_plot(res, var) (where var is my variable of
interest), but I keep encountering a "parsing error."
Any guidance or examples of the correct syntax would be greatly appreciated.
Thank you for your time and assistance.
Sincerely,
Giulia Chiara
_______________________________________________
Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it
To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it
Website:
https://www.google.com/url?q=https://gretlml.univpm.it/postorius/lists/gr...
10:52 a.m.
New subject: R: Query about FEVDs for BVAR
Am 31.07.2025 um 13:23 schrieb GIULIA CHIARA:
Thank you for your quick response.
If you could, at some point, when it's convenient for you, provide me
with an example, it would be extremely helpful since I'm not very
familiar with coding.
Thank you in advance for your help. I wish you a good day.
Luca and I will definitely add the FEVD calculation to the BVAR package
quite soon. In the meantime and for the record, here's the current
internal structure of the results (since this isn't fully spelt out in
the help document):
- As the help mentions, the output bundle (with user-chosen name)
contains a sub-bundle called "s_irfs".
- This s_irfs sub-bundle holds a bunch of matrix members, each of which
contains one of the IRFs.
- The names of these matrix-es are of the pattern:
summ_<originname>_tow_<targetname>,
where <originname> refers to the variable where the shock comes from,*
and <targetname> of course is the variable that reacts.
- The number of rows of each matrix is given by the irf horizon that was
chosen, starting from 0 (=contemporaneous impact).
- There are five columns with posterior statistics: mean, std.dev., 5%
quintile, median, 95% quintile.
So for example, if your results bundle is called "res", you can access
'res.s_irfs.summ_interest_tow_inflation[,4]' to get the posterior median
of the structural IRF from the equation of the variable "interest" to
the variable "inflation", as a column vector up to the specified horizon.
I'm not saying that we guarantee this internal structure to stay like
that forever, but that's the current state of affairs.
cheers
sven
---
*: (of course, for structural IRFs the shock source is not the same
thing as a variable, so the variable name is just used to identify the
equation which is considered)
12:37 p.m.
New subject: R: Query about FEVDs for BVAR
Thank you very much. I appreciate that.
Kind regards,
Giulia Chiara
> On 2 Aug 2025, at 5:52 pm, Sven Schreiber <sven.schreiber(a)fu-berlin.de> wrote:
>
> Am 31.07.2025 um 13:23 schrieb GIULIA CHIARA:
>> Thank you for your quick response.
>> If you could, at some point, when it's convenient for you, provide me with an
example, it would be extremely helpful since I'm not very familiar with coding.
>> Thank you in advance for your help. I wish you a good day.
>>
> Luca and I will definitely add the FEVD calculation to the BVAR package quite soon.
In the meantime and for the record, here's the current internal structure of the
results (since this isn't fully spelt out in the help document):
>
> - As the help mentions, the output bundle (with user-chosen name) contains a
sub-bundle called "s_irfs".
>
> - This s_irfs sub-bundle holds a bunch of matrix members, each of which contains one
of the IRFs.
>
> - The names of these matrix-es are of the pattern:
summ_<originname>_tow_<targetname>,
>
> where <originname> refers to the variable where the shock comes from,* and
<targetname> of course is the variable that reacts.
>
> - The number of rows of each matrix is given by the irf horizon that was chosen,
starting from 0 (=contemporaneous impact).
>
> - There are five columns with posterior statistics: mean, std.dev., 5% quintile,
median, 95% quintile.
>
> So for example, if your results bundle is called "res", you can access
'res.s_irfs.summ_interest_tow_inflation[,4]' to get the posterior median of the
structural IRF from the equation of the variable "interest" to the variable
"inflation", as a column vector up to the specified horizon.
>
> I'm not saying that we guarantee this internal structure to stay like that
forever, but that's the current state of affairs.
>
> cheers
>
> sven
>
> ---
>
> *: (of course, for structural IRFs the shock source is not the same thing as a
variable, so the variable name is just used to identify the equation which is considered)
> _______________________________________________
> Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it
> To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it
> Website:
https://www.google.com/url?q=https://gretlml.univpm.it/postorius/lists/gr...
9
days inactive
11
days old
2 comments
2 participants
participants (2)
-
GIULIA CHIARA -
Sven Schreiber