D09-F03-A05 · GUIDED MULTIVARIATE LAB

Forecast-Error Variance Decomposition

Learn to derive horizon-specific variance shares from the same identified responses used by the impulse-response analysis.

Interpretation boundary
Orthogonalized FEVD using squared Cholesky-identified response entries accumulated from horizons zero through h-1 and normalized by response-variable row. Synthetic results demonstrate the contract; they do not identify a real economic shock or prove forecasting value.
Stage 1 of 5

1. Validate

Forecast-Error Variance Decomposition method-specific chartA method-specific view of the selected synthetic scenario and parameter profile.