I know that there are some relations between Impulse Response Functions and Forcast Error Variance Decomposition, but I was wondering whether there is a transformation or formula that transforms IRFs to FEVD or not? Can anybody help?
You know, I need it for a special model that I have written my own code to have IRFs, know I want to know whether I can simply transfer them to FEVD and avoid writing new code.
Thanks for your reply. I am not using dynare for this part pf the model.
I am using IRF matching Estimation method and my question is regarding to my VAR model IRFs. not the DSGEs.
There is no easy transformation. You would need to code it along the lines of
get_var_decomp.m (3.0 KB)