I am wondering how I can do the variance decomposition for some variables are I(1). For example, I have a Gali (1999) type VAR with growth of TFP and the growth of hour, and I want to know the contribution of the identified technology shock to output or hour. It is straight forward to compute the variance decomposition for the differenced variables in the model, but I have no idea how to do it for the integrated variables.
Thanks in advance.
Dynare forums
Forums for asking questions, posting comments and uploading examples related to Dynare
variance decomposition for I(1) variables.
Forum rules
This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location (https://forum.dynare.org) where you will have to reset your password.
This forum is closed. You can read the posts but cannot write. We have migrated the forum to a new location (https://forum.dynare.org) where you will have to reset your password.
1 post
• Page 1 of 1
variance decomposition for I(1) variables.
by bigbigben » Thu Jun 10, 2010 6:21 am
- bigbigben
- Posts: 171
- Joined: Sun May 28, 2006 1:19 am
1 post
• Page 1 of 1
Who is online
Users browsing this forum: No registered users and 4 guests