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.