The forecast error variance decomposition analysis reveals information about the proportion of the movements in sequence due to a variable's "own" shocks versus shocks from other variables.
What does FEVD stand for?
FEVD stands for Forecast Error Variance Decomposition
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- Forced Expiratory Volume in 6
- Federación del Voleibol Argentino
- Federation of East Village Artists (New York)
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- Finite Element Visual Analysis (software)
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- Forced Expiratory Vital Capacity (lung function testing)
- Fixed-Effects Vector Decomposition (economics)
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- fracción de eyección ventricular izquierda (Spanish: Left Ventricular Ejection Fraction)
- Front End Volatility Index
- Forced Expiratory Volume
- First Executive Vice President
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Samples in periodicals archive:
9) For each draw, we compute impulse responses and forecast error variance decomposition of [y.
Forecast error variance decomposition is an important tool, based on the VAR models, to summarize the dynamic interactions among economic series.
28) The forecast error variance decomposition indicates the proportion of the movements in a sequence due to its 'own' shocks versus shocks to the other variables.
Forecast Error Variance Decomposition Table 4 reports the forecast error variance decompositions of real stock prices and consumer prices to the contributions of permanent innovations and temporary innovations (Hamilton 1994, chap.
TABLE II Panel A: One-Step Ahead Forecast Error Variance Decompositions (due to Innovations in Stock Price) Forecast Horizon Stock Price Dividend 1 42.
Similar evidence is obtained by analyzing the forecast error variance decomposition in Table III.