*! version 16.0 18march2021

[VAR-NR] fevd_plot() -- plot forecast error variance decomposition(s) with confidence bands

Syntax

void
fevd_plot(transmorphic scalar fevd, struct fevd_bands_struct scalar fevdb, struct var_struct scalar VAR, struct opt_struct scalar opts)

Description

fevd_plot() plots the forecast error variance decompositions, fevd,
identified as specified in opts for the SVAR stored in VAR. It also
plots confidence intervals, which are entered as fevdb.

If the SVAR was identified using short-run or long-run zero restrictions,
fevd should be filled with the output from fevd_funct() and
fevdb should be filled with the ouptut from
fevd_bands_funct().

If the SVAR was identified using [narrative] sign restrictions, fevd should
be filled with the object indexed by the key string "median" in the associative
array output by sr_analysis_funct() with the "fevd"
option specified. fevdb should be filled with the object indexed by "bands"
from the same associative array. In this case, the median draw is plotted and
confidence bands are the draws corresponding to the pctg-percentiles as
set by opts.

Options for impulse response function plotting are set to defaults when
var_nr is run and are adjusted using
var_nr_options in Stata or using standard
structure.element structure syntax in Mata. Options affecting FEVD
plotting are outlined below. Note that the options that determine the
fevd_funct() and fevd_bands_funct()
calculations also affect fevd_plot(), so these should be kept
constant for the purpose of plotting.

Options

save_fmt specifies the file type that output plots should be saved as.
Outputs are automatically saved to the current working directory. If "none" is
specified, then the plots are displayed, but not saved. "none" is the default.

shck_plt allows the user to select just one shock for which forecast error
variance decompositions should be plotted. If "all" is specified,
fevd_plot() will plot impulse responses for all endogenous variables. If a
variable name or, in the [narrative] sign restrictions case, a shock name is
specified, the function will only plot the forecast error variance decompositions
for the specified shock. "all" is the default.

Remarks

fevd_plot() can be called in Stata using function
var_nr_fevd_plot.

For an overview of functions in the toolbox, see

[VAR-NR] var_nr Toolbox -- Stata functions and Mata functions.

Sources

Code follows Kilian and Lutkepohl's notation in
Structural Vector Autoregressive Analysis (2016).