variance decomposition for shorter horizons

[rossana]

Dear all,

can somebody tell me if last versions of Dynare 4 can compute the variance decomposition for shorter horizons? Or have I to code myself? Many thanks.

Best,
Rossana

[jpfeifer]

Yes, for example with

Code: Select all

stoch_simul(periods=0,conditional_variance_decomposition=[4:20])

you will get the theoretical variance decomposition at horizons 4 to 20 in addition to the unconditional one.