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
Show replies by date
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