VECMXResult.fevd

VECMXResult.fevd(horizon=20)

Unavailable: propagation needs a law of motion for the exogenous block.

Parameters:

horizon (int) – Ignored.

Raises:

SpecificationError – Always.

Return type:

NDArray[double]

Example

>>> import numpy as np
>>> rng = np.random.default_rng(0)
>>> x = np.cumsum(rng.standard_normal((200, 1)), axis=0)
>>> res = VECMX(x + rng.standard_normal((200, 1)), x, order=1, rank=1).fit()
>>> res.fevd(4)
Traceback (most recent call last):
cultivars.exceptions.SpecificationError: ... so a variance decomposition is not ...