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horizon of variance decomposition

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horizon of variance decomposition

by nakov » Wed Mar 07, 2007 8:35 am

What is the horizon for which the variance decomposition is computed?

nakov: Posts: 12; Joined: Mon Aug 01, 2005 9:32 am

Re: horizon of variance decomposition

by StephaneAdjemian » Thu Mar 08, 2007 2:20 pm

nakov wrote:What is the horizon for which the variance decomposition is computed?

Hi,

stoch_simul provides the asymptotic variance decomposition (after the command estimation).

Best,
Stephane.

StephaneAdjemian

Posts: 429

Joined: Wed Jan 05, 2005 4:24 pm

Location: Paris, France.

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Re: horizon of variance decomposition

by Lau » Tue Jul 19, 2011 5:37 pm

Is it possible to obtain the variance decomposition at different horizons using dynare ?
Thanks

Lau: Posts: 13; Joined: Tue Nov 23, 2010 6:49 pm

Re: horizon of variance decomposition

by jpfeifer » Wed Mar 25, 2015 12:44 pm

Yes, using the conditional_variance_decomposition option. See the manual for details.

------------
Johannes Pfeifer
University of Cologne
https://sites.google.com/site/pfeiferecon/

jpfeifer: Posts: 6940; Joined: Sun Feb 21, 2010 4:02 pm; Location: Cologne, Germany

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