FEVDForecast Error Variance Decomposition
FEVDFixed-Effects Vector Decomposition (economics)
References in periodicals archive ?
1 follow SW, and use the mode of the posterior estimates to conduct the FEVDs and the historical decompositions presented in the next subsection.
1 level for the FEVD model, indicating that the extent of reinsurance use is possibly driven by the classes or lines of products sold by insurers.
F-tests for both 2SLS and FEVD models are significant at the 0.
The tax convexity and solvency variables are positive and statistically significant in the 2SLS and FEVD models, respectively.
Since my sample consists of panel data, I estimate a dynamic panel data model with the FEVD specification, including a lagged dependent variable as a regressor in the regressions.
01 level in the FEVD model when a sample-period invariant measure (the standard deviation of the first difference in annual pretax profit over the period 1985-2002 divided by the mean value of total admissible assets over the same time period) is used.
For both the 2SLS and FEVD models, the estimated coefficients on this dummy are insignificant at the 0.
Based on the findings using FEVD, BE, OLS, and year-by-year regressions, it appears that the overall results are robust to different methodologies, with the exception of the significance of the closely held by others variable.
Although the FEVD results tell how much explanatory power each variable has for the innovations of a specific variable, the IRFs provide a visual clue as to the directional response of the AGI share.
The economically insignificant results for the top marginal income tax rate from the FEVD are supported in these figures.
TABLE 5 FEVD Results for the Top AGI Share A: Ordering: C(t), T(t), real GDP, AGI share Period C(t) T(t) Real GDP 1 18.