Shock decomposition
A new function computes and displays shock decomposition according to the model for a given sample.
Syntax
shock_decomposition;
This instruction must be given after an estimation statement.
Since Dynare 4.2, it is possible to select the parameter values used to compute the decomposition, with the parameter_set option:
shock_decomposition(parameter_set = prior_mode);
This option can take five values: prior_mode, prior_mean, posterior_mean, posterior_mode, posterior_median.
If this option has not been specified, then the parameter set is selected according to the following rules:
- If only the posterior mode (or maximum likelihood) has been computed, the parameters are set to the corresponding values;
If Metropolis has been run (or load_mh_file option is used) the parameters are set to the posterior mean.
To be added
- A mechanism for grouping together different exogenous variables and giving them an appropriate label for the decomposition graph.
- The ability to compute shock decomposition for calibrated models.