Quick question about variance decomposition

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Quick question about variance decomposition

Postby Robert » Wed Dec 14, 2016 9:22 am

Dear Johannes,

I just wanted to ask you a quick question about the variance decomposition. I use conditional_variance_decomposition = [4,8,20], however the very first matrix dynare produces is the unconditional variance decomposition (it says above the matrix "VARIANCE DECOMPOSITION (in percent) (HP filter, lambda = 1600)", correct?

If yes then I should be able to find the values under the oo_.variance_decomposition path. However, there's no such path in oo_. Do you know where I can find the values, it seems I keep making a mistake.

Many thanks for your help.

Robert
Robert
 
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Joined: Wed Jan 13, 2016 3:10 pm

Re: Quick question about variance decomposition

Postby jpfeifer » Wed Dec 14, 2016 8:27 pm

Dear Robert, it should be there, so please provide the file.
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
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Re: Quick question about variance decomposition

Postby jpfeifer » Fri Dec 16, 2016 3:29 pm

It turns out this is a problem in the documentation of Dynare 4.4.3. That version only saves the variance decomposition in
Code: Select all
100*oo_.gamma_y{options_.ar+2}

Later versions have the correct field
Code: Select all
oo_.variance_decomposition
------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/
jpfeifer
 
Posts: 6940
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Location: Cologne, Germany

Re: Quick question about variance decomposition

Postby Robert » Fri Dec 16, 2016 3:49 pm

Many thanks for that Johannes!
Robert
 
Posts: 36
Joined: Wed Jan 13, 2016 3:10 pm


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