SVARResult.fevd

SVARResult.fevd(horizon=20)

Share of forecast-error variance carried by each identified shock.

Return type:

NDArray[double]

Returns:

An array of shape (horizon + 1, k, s) whose entry [h, i, j] is the share of variable i’s h + 1-step forecast-error variance attributable to shock j. Rows sum to one across shocks only when the identification is complete; under partial identification the shortfall is the variance the scheme does not speak for.