Hi All,
I have fitted a VAR model using the 'var' command. I now want to obtain the forecast error variance at various horizons.
I know how to use 'irf create' to create the forecast error variance decomposition. But I could not find a command to get the variance itself. Any leads are much appreciated.
Best
Tirupam
I have fitted a VAR model using the 'var' command. I now want to obtain the forecast error variance at various horizons.
I know how to use 'irf create' to create the forecast error variance decomposition. But I could not find a command to get the variance itself. Any leads are much appreciated.
Best
Tirupam
