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Variance decomposition

PostPosted: Thu Jun 12, 2008 12:47 pm
by jlhuillier
Hi

Does anybody know how I can get a forecast error variance decomp? Is there a command, a routine available, or an easy way of doing it?

Thanks
Jean-Paul

PostPosted: Fri Jun 13, 2008 7:08 am
by reubenpjacob
this is an automatic output of the stoch-simul command.
however dynare so far gives us only the infinite horizon var decomp. for shorter horizons ( more interesting to most people) you have to code yourself.