*! version 16.0 18march2021

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

Syntax

var_nr_fevd_plot
,

varname("string")
optname("string")
fevd("string")
[fevdbands("string")
srname("string")]

Description

var_nr_fevd_plot plots the forecast error variance decompositions
estimated using var_nr_fevd specified in fevd for
the SVAR specified in varname and estimated previously using
var_nr. It also plots confidence intervals.

If the SVAR was identified using short-run or long-run zero restrictions,
fevdbands should be specified with the name of the FEVD bands object
output by var_nr_fevd_bands. In this case, srname
should not be specified.

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. In this case, fevdbands
should not be specified.

Options for forecast error variance decomposition 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
var_nr_fevd and var_nr_fevd_bands
calculations also affect var_nr_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 impulse
responses should be plotted. If "all" is specified, var_nr_fevd_plot() will
plot forecast error variance decompositions 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 impulse response for the specified
shock. "all" is the default.

Remarks

var_nr_fevd_plot() calls the Mata function 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).