*! version 16.0 23march2021

[VAR-NR] var_nr_fevd -- Calculate forecast error variance
decomposition of SVAR

Syntax

var_nr_fevd
,

varname("string")
optname("string")
outname("string")
[statamatrix("string")
srname("string")]

Description

var_nr_fevd calculates the forecast error variance decomposition for
the structual vector autoregression specified in varname estimated
previously using var_nr. Forecast error variance decompositions
are stored in Mata (see fevd_funct() for more details)
under the name specified in outname.

statamatrix is optional. If it is specified, a matrix containing the
forecast error variance decomposition will be generated in Stata and stored
under the name specified within the parantheses (note the name is entered as a
string but the name itself, of course, will not be). Column names are
descriptive.

If the SVAR was identified using [narrative] sign restrictions, srname
must be specified with the name of the credible set output by
var_nr_sign_restrict.

Options for forecast error variance decomposition function identification and
estimation are set to defaults when var_nr is run and are
adjusted using var_nr_options.Options affecting FEVD
calculation are outlined below:

Options

ident specifies the method used to identify the model.
This option will accept one of three strings: "oir", "bq", or
"sr". "oir" specifies zero short-run restrictions; "bq"
specifies zero long-run restrictions; and "sr" specifies [narrative] sign
restrictions.

nsteps specifies the number of steps for which, or the maximum horizon
out to which, the FEVD is calculated (must be positive integer).

impact sets the size of the shock for the impulse. Options are 0 or 1.
If it is set to "0" then shock is one standard deviation. If it is set to
"1" the shock is 1.

shut specifies if there is a row of the inverse-A matrix to be set to 0.
Options are 0 or 1, where 1 specifies that a row be shut.

Remarks

var_nr_fevd runs function fevd_funct() in Mata
when identification strategy is short or long-run zero restrictions. If the
SVAR is identified with [narrative] sign restrictions,
sr_analysis_funct() is run in Mata. All outputs
are automatically stored in Mata to be used by other
other functions included in the var_nr Toolbox.

For an overview of functions in the toolbox, see

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

Sources

Code for this function is adapted from Ambrogio Cesa-Bianchi's VAR Toolbox.
Code follows Kilian and Lutkepohl's notation in
Structural Vector Autoregressive Analysis (2016).