Historical Decomposition
Posted: Tue Jun 01, 2010 11:36 amHi everyone,
I want to ask a question about the usage of "shock_decomposition" command in Dynare. In the output of this command, besides the individual contribution of the shocks, I also get a series for "initial values". What is the interpretation of initial values? For example, while for some variables I have high initial values in the shock decomposition, for some other variables, I have very small initial values. Does this means anything special about my estiamtion?
I also wonder why the historical decomposition in Christiano et al, 2007 (http://faculty.wcas.northwestern.edu/~l ... b2007a.pdf) does not include any initial value. Thank you very much for the answers in advance.
I want to ask a question about the usage of "shock_decomposition" command in Dynare. In the output of this command, besides the individual contribution of the shocks, I also get a series for "initial values". What is the interpretation of initial values? For example, while for some variables I have high initial values in the shock decomposition, for some other variables, I have very small initial values. Does this means anything special about my estiamtion?
I also wonder why the historical decomposition in Christiano et al, 2007 (http://faculty.wcas.northwestern.edu/~l ... b2007a.pdf) does not include any initial value. Thank you very much for the answers in advance.