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My intention is to retrieve forecast error variance decomposition from a MF-VAR with no latent processes following Ghysels (2012)

https://www.hec.ca/finance/seminaires/Ghysels.pdf

I found the following site:

http://www2.kobe-u.ac.jp/~motegi/Matlab_Codes.html

that has MatLab codes for this, but would be more comfortable with using R instead.

As far as I understand the mfbvar-package in R does not bend to this. I also looked at the midasr-package, but am not convinced it can do the trick. Are there any relevant packages I am missing or could the aforementioned packages be modified to suit a general MF-VAR?

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