Hi,
Last week I asked something about the variance decomposition. I could have the results, however, I need some information about what it is behind the calculations. Do you have any document where I can find what DYNARE does to get the variance decomposition and the historical decomposition?
Thanks.
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Variance Decomposition
by lin123 » Tue Apr 28, 2015 12:50 pm
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Re: Variance Decomposition
by jpfeifer » Tue Apr 28, 2015 1:23 pm
Dynare uses standard time series techniques for linear state space models. For forecast error variance dcompositions, see Lütkepohl (2005): New Introduction to Multiple Time Series Analysis, Chapter 2.3.3.
For the shock decomposition, A Kalman Filter/Smoother Approach is used. See Durbin/Koopman (2012): Time Series Analysis by State Space Methods or Hamilton (1994)
For the shock decomposition, A Kalman Filter/Smoother Approach is used. See Durbin/Koopman (2012): Time Series Analysis by State Space Methods or Hamilton (1994)
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