Forecast error variance decomposition

[sashe86]

Hi there,

I want to estimate the forecast error variance decomposition over a variety of horizons.

When estimating this, I type

conditional_variance_decomposition=1

to get a one period ahead forecast.

I want to do this for several horizons, however I keep having to update the conditional_variance_decomposition and rerun the whole model again. Is there a quicker way to do this?

Thanks in advance!

[jpfeifer]

It's all there in the manual.

For example

Code: Select all

conditional_variance_decomposition=[1:5,8]

will give you the decomposition at horizons 1,2,3,4,5, and 8

[sashe86]

My apologies! Thanks for taking the time to answer, I'll be more careful looking through the manual.

S