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Variance decomposition in a Stochastic simulation
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Variance decomposition in a Stochastic simulation
by emartinezgar » Sat Sep 02, 2006 8:17 pm
I have a simple stochastic LRE model which I'm trying to simulate with Dynare v3.064. I want to obtain the variance decomposition (of the endogenous variables) as a way to assess the impact that each innovation has on the endogenous volatility of the model. However, I do not know which command to use for that purpose or how to use dynare to get it. Could anyone give me a hand?.
- emartinezgar
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by MichelJuillard » Wed Sep 13, 2006 7:34 pm
You get it as one of the output of stoch_simul
Just rely on the theoretical moments, don't perform any actual simulation (don't use the option 'periods')
Best
Michel
Just rely on the theoretical moments, don't perform any actual simulation (don't use the option 'periods')
Best
Michel
- MichelJuillard
- Posts: 680
- Joined: Thu Nov 18, 2004 10:51 am
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