Hi everydody, please see if someone could help me on this:
After using shock_decomposition, I can see that the influence of initial values on some of my endogenous variables are very persistent, even after a long period. (Also, some of IRF take a long time to converge to long run values).
I am confused about those results. Is there anything I should worry about? It seems I dont have unit root problems, as Blanchard and Kahn conditions are satisfied and numerical steady-state convergence is achieved.
Best Regards,
Nottar
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Influence of Initial Values on Historical Decomposition
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Influence of Initial Values on Historical Decomposition
by nottarv » Wed Nov 07, 2012 1:32 pm
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Re: Influence of Initial Values on Historical Decomposition
by SébastienVillemot » Mon Jan 07, 2013 1:14 pm
This just means that your model has a lot of persistence. For example, you may have set a shock with a high autocorrelation coefficient.
Sébastien Villemot
Economist at OFCE – Sciences Po
Economist at OFCE – Sciences Po
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