Dear Tom,
I would like to create a bar graph for forecast error decomposition after the error instruction in the VAR model. I also want to a create table for responses after @MCVARDoDraws and @MCGraphIRF rather than using window option in the impulse instruction.
Is there any readily available code for this?
Thanks
Producing Bar for FEVD and Table for Responses
Re: Producing Bar for FEVD and Table for Responses
For the latter, just use @MCPROCESSIRF rather than @MCGRAPHIRF and do whatever you want with the series it generates.
The only example I have of a stacked bar graph for FEVD's is in Gali AER 1999 which is a two variable system. They don't work well beyond two variables (since the middle series has no fixed upper or lower bound) and tend to be rather boring since the FEVD's change very slowly after the first few periods. That's why IRF's are usually presented graphically, and FEVD's in a table rather than the other way around. If you want to do it, it's not hard since ERRORS has a RESULTS option.
The only example I have of a stacked bar graph for FEVD's is in Gali AER 1999 which is a two variable system. They don't work well beyond two variables (since the middle series has no fixed upper or lower bound) and tend to be rather boring since the FEVD's change very slowly after the first few periods. That's why IRF's are usually presented graphically, and FEVD's in a table rather than the other way around. If you want to do it, it's not hard since ERRORS has a RESULTS option.