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shock_decomposition;
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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.

DynareWiki: ShockDecomposition (last edited 2011-02-07 09:31:32 by SébastienVillemot)