IRFs transformation to FEVD

Stochastic simulations
1

Hi,
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.

3

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.

4

There is no easy transformation. You would need to code it along the lines of
get_var_decomp.m (3.0 KB)

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